The New York Post is reporting that Gretzky's group of investors is one of three working on a deal to bring either a new or existing franchise to Seattle.
A new team would also need a place to play, which doesn't exist in Seattle.
Hedge fund manager Chris Hansen had plans to build an arena but only if he could have an NBA team as a tenant.
Those plans fell apart when Hansen failed to purchase the Sacramento Kings and his partner, former Microsoft CEO Steve Ballmer, dropped out after his tentative purchase of the Los Angeles Clippers.
NHL commissioner Gary Bettman has also said the league isn't interested in expansion.
Deputy commissioner Bill Daly declined to comment when contacted by The Canadian Press.