Wall mused about the idea Thursday, but says he can't speculate on what the public appetite might be for the move.
"I know when I was first told of the option from some senior staff that maybe we should look at it, I thought it is worth looking at," said the premier.
"I mean it's a small thing, but we can make a strong statement about what's going on in terms of Russia and Ukraine by a relatively small measure and so it's worth considering."
The Saskatchewan Liquor and Gaming Authority carries Russian Standard Vodka.
Wall says a decision should be made by early next week.
However, the premier also cautions that international trade can be complicated, so he says the province wants to work with the federal government to find out what trade sanctions are in the works.
"We wouldn't want to be doing things inconsistent with what Canada is doing," said Wall.
Wall says trade issues have to be considered because Saskatchewan manufacturers sell equipment into Russia. Officials say last year, Saskatchewan exported about $21 million in goods to Russia, mostly agriculture equipment.
Political violence in Ukraine hits home for many people in Saskatchewan, where about 13 per cent of the population has Ukrainian roots.
The idea of the booze ban was also raised in the Manitoba legislature by the Opposition Progressive Conservatives, who said it would be one way to protest the crisis in Crimea.
The Manitoba minister responsible for the gaming control act, Dave Chomiak, called the suggestion "valid." He said it could work as part of a larger set of economic sanctions against Russia, which are being discussed with the federal government.