Following Thor director Kenneth Branagh's decision not to helm the follow-up, Jenkins was reported to be Marvel's first choice for the job.
"I can't say, but yes," Jenkins told Vulture, when asked straight whether Thor 2 would be her next project. "I can't say anything definitive, but it's exciting to be in talks with them about it."
Jenkins went on to praise the company for their unusual choices of director.
"I think Marvel is really ballsy to think outside the box. And I think everyone they've talked to and hired has been interesting."
Jenkins is best known for directing the 2003 Academy Award-winning film Monster, which starred Charlize Theron as serial killer Aileen Wuornos.
Thor 2 is expected in cinemas on July 26, 2012.
Watch the trailer for Thor below: