The Belgium captain has six Premier League crowns and one Champions League title, as well as two FA Cups and five League Cups to his name since his 2015 switch from German side VfL Wolfsburg.
"For Michele (his wife), an exotic adventure is okay. These are also conversations we are having more and more as a family," De Bruyne told Dutch-language newspaper Het Laatste Nieuws (HLN) and television station VTM.
"I have one more year of contract, so I have to dwell on what could happen. My eldest son is now eight and knows nothing but England. He also asks how long I will play at City.
"Once the time comes, we will have to deal with it in a certain way."
Saudi Arabia has invested heavily in sports like Formula 1, golf and football over the last few years, with the likes of Cristiano Ronaldo, Neymar and Karim Benzema, among big names signing lucrative deals to play in the Saudi Pro League.
"At my age, you have to be open to everything. You talk about incredible sums in what might be the end of my career. Sometimes you have to think about that," De Bruyne added.
De Bruyne will play his 100th international when Belgium host Montenegro in a friendly on Wednesday ahead of the European Championship.