Cox, 35, hung up his boots last year and has been keen to venture into management and make his way on the other side of the touchline.
So far, no such role has materialised - but in October he considered making a bold move by applying for the vacant job at The Hawthorns following the sacking of Steve Bruce.
Speaking on the latest episode of the Baggies Broadcast, which airs on Thursday, Cox said: "I want to be a manager, I'm not a big lover of coaching.
"I want to be the person who organises, make sure the players are playing the way they are, make sure they have character, work towards a goal and get the best out of them.
"I do enjoy coaching, but management is what I would like to go into and if something comes up and it fits then I will go for it.
"I was actually thinking of sending my CV in for the West Brom joke - just as a bit of a joke!"
Like many ex-footballers Cox has struggled to coming to terms with retiring from football.
The forward, who scored 18 times in 79 games for Albion during three years at the club brought his 17 year playing career to an end in October 2021 - following a pandemic hit seasons in Australia with Western Sydney Wanderers.
Alongside his desire to go into management - Cox is now looking to use the skills he developed in football into the gym, with the striker venturing into business as he gets set to open a franchise gym.
Cox, who also talks at length about his post football struggles during the podcast, said: "It has been a whirlwind since retirement.
"I tried to get into coaching, I have done some media stuff which I have really, really enjoyed.
"It is just about finding things to do, and I am opening a franchise gym where I live in the new year, and I want to take all the stuff I learned in a football dressing room, that camaraderie and spirit, into this gym, to make it a community and help people achieve their goals.
"There is a big push on improving mental health at the moment, and I want to help with that. When I retired I was just staring at four walls, for 17 years you have had structure then it ends and you have no structure, it is horrible.
"I struggled with no one getting in touch with you. No one got in touch to open a door, or go for a coffee or something, when you're not a footballer it is like they press the mute button on the phone to you and I found that really, really tough."
Check out the previous episode of the Baggies Broadcast guest series with Andy Johnson: