The Spain international left the Basque club in 2018 to join Chelsea, which ended a 14-year spell with the club after he joined the youth ranks of at age nine.
Kepa, 25, commanded a record transfer fee for a goalkeeper at the time, and has since become first choice goalkeeper for Spain coach Robert Moreno, but admits a return to the Rojiblancos is a possibility.
"Of course I would like to return to Athletic (Bilbao)," he told Spanish football show El Chiringuito. "I don’t know when or how or what, but playing at Athletic obviously I’d like that. I have great memories."
The Chelsea stopper also reflected on the heavy speculation that saw him come close to joining Real Madrid in January 2018.
Kepa eventually re-signed with Bilbao in that window with the intention of staying at the club, before departing to Chelsea the next summer.
"For several months my grandma saw more of me in the newspapers than in the flesh," he said. "There was a lot of talk about me. I was also injured for a while so it wasn't a good moment for me.
"My contract was due to expire and from January onwards I was able to start talking to other clubs.
"I couldn’t see myself joining [another] club. I ended up renewing my contract with the idea of staying, but six months later I left. That was the only contraction."
Spain continues its Euro 2020 qualifying campaign away in Norway on Saturday.