I remember he was also rumored once to be making a cameo as Bond's father in one of the Brosnan movies. Until the producers realized, "Oh, that's right. Bond's parents are dead. We even said so in Goldeneye. Oops."
I think it would be interesting to see him come back as a Bond villain.
Roger Moore has also said that he'd like to play the villain in a Bond movie, however the producers recently said that it wouldn't happen as he had played James Bond. So obviously the same will apply to Connery.