The British model was photographed with the web developer on holiday on board a luxury yacht in St Barts on Sunday (December 30), reports the Daily Mail.
Cole was seen massaging Dorsey in the photographs, before they reportedly arrived together at Roman Abramovich's New Year's Eve party.
However, a spokesperson did not officially confirm any relationship between the pair.
Lily Cole has been single since her split from actor Enrique Murciano back in early 2011.
Jack Dorsey is said to be worth an estimated $1.1 billion (£678 million), and is also the founder and CEO of mobile payments company Square.
Cole starred as Greta in Snow White and the Huntsman last year, while she also appeared as The Siren in Doctor Who in 2011.