"Indy is a very big race, one of the biggest ones in the history of our sport," he told Autosport.
"I would definitely be interested in trying the Indy 500," he admitted. "But if you want to do it properly and you want to challenge for victory, you have to do a lot of testing because I believe that ovals are very different to what we in Formula 1 are doing.
"When I speak to drivers who do ovals, they say it takes some time to get used to it but it's something really exciting and something that probably one day I will do."
Asked if he would ever consider switching to the American series, he said: "IndyCar generally is very close to Mexico, it's quite connected. "We've also had a couple of Mexican drivers in the past so IndyCar is quite popular in Mexico.
"It was more popular than Formula 1 at one time," he continued, "so I followed it a lot in the past but since I went to Europe at the age of 14/15, my main focus was Formula 1.
"I certainly have a lot of interest in the Indy 500 and IndyCar itself and I think it's growing," he added. "I've heard that it's getting better and better so it's something interesting."
Having lost his seat at Racing Point to Sebastian Vettel, the Mexican's options are limited, and while there is the possibility of a seat at Haas or Alfa Romeo, other than a shock of seismic proportions - which isn't entirely impossible - there are no really competitive seats available.
However, Zak Brown, boss at McLaren, where the Mexican spent one season before being dropped, has hinted at an IndyCar lifeline for the 30-year-old, providing he's prepared to turn his back on F1.
"He'll probably end up in Formula 1, that is my guess, at either Haas or Alfa Romeo," said the American. "But if he had an interest in IndyCar, I think he's a great race car driver, and we'd definitely be interested in talking to him.
"We would need the funding for three cars," he added, "and at this point we only have the funding for two cars. So we wouldn't be in a position to sign him today, but it would be something that, in-between the backing that he's historically had, and the commercial activity that we've got going on, and the excitement someone like Sergio would create, we would certainly look to see if we could put it together."
In partnership with Schmidt Peterson Motorsports, the Arrow McLaren SP team currently runs Oliver Askew and Pato O'Ward in the series, though a third car was entered at Indianapolis for Fernando Alonso.
And talking of Haas or Alfa as his main F1 options, providing its new owners are prepared to invest, Williams could provide another alternative. Indeed, such a move would surely demonstrate Dorilton Capital's commitment.