La Maquina was left without a head coach after Robert Siboldi resigned following a devastating 4-0 loss to Mexico City rival Pumas UNAM in the second leg of the Liga MX semifinal. Cruz Azul had won the first leg 4-0, but crashed out due to its inferior position in the regular season standings.
Former Real Madrid great Sanchez, an ESPN pundit, hasn't coached since he took over Pachuca in 2012, but has admitted there have been discussions with Cruz Azul.
"There's been contact with my agent, there are some candidates," said Sanchez on ESPN. "I gave my point of view and the door to coaching Cruz Azul is open."
Almeyda is regularly linked to the bigger jobs in Mexico, following his success in Guadalajara with Chivas, although prizing him away from the Major League Soccer side could prove difficult.
Former Monterrey manager Antonio Mohamed was in the frame for the position, but has been ruled out for now, according to the sources, because of his wage demands.