According to Showbiz Spy, the mother of six hopes to work with the Social Network director on the film.
"It's all very early," said Jolie of the acclaimed director's involvement in the project. "Fincher's been an old friend, so we've always been looking for something to do."
Fincher was first rumoured to be a contender to take charge of the highly-anticipated movie in late March.
Jolie has previously said that she hopes the Cleopatra role works out.
The actress was first connected with the part in June of last year. She confirmed her involvement in the project shortly after.
Since Jolie was cast in the film in 2010, a number of high-profile names have been connected to the film. The actress's partner Brad Pitt was wanted for the role of Marc Antony, though Colin Farrell, Russell Crowe and Clive Owen have also been named as contenders for the role.
Meanwhile, James Cameron recently announced that he would not be directing Cleopatra after weeks of speculation as to whether the Oscar winner would helm the picture.