The Spain international left the Basque club in 2018 to join Chelsea, which ended a 14-year spell with the side he joined the youth ranks of at age nine.
Kepa, 25, commanded a record transfer fee for a goalkeeper at the time, and has since become first choice goalkeeper for both Chelsea and Spain, but admits a return to the Rojiblancos is a possibility.
"Of course I would like to return to Athletic," Kepa told Spanish football show El Chiringuito.
"I don’t know when or how or what, but playing at Athletic obviously I’d like that. I have great memories."
The Chelsea stopper also reflected on the heavy speculation that saw him come close to joining Real Madrid in January 2018.
Kepa eventually re-signed with Bilbao in that window with the intention of staying at the club, before departing to Chelsea the following summer.
"For several months my grandma saw more of me in the newspapers than in the flesh," he said.
"There was a lot of talk about me. I was also injured for a while so it wasn't a good moment for me. My contract was due to expire and from January onwards I was able to start talking to other clubs.
"I couldn’t see myself joining [another] club. I ended up renewing my contract with the idea of staying, but six months later I left. That was the only contraction."
Aside from a dramatic confrontation with Maurizio Sarri last season, Kepa has settled well at Stamford Bridge and played a key part in Chelsea's Europa League success last season.
The Spanish shot-stopper has been backed to continue shining with the Blues for a long time to come if he can keep improving.
“At 25, Kepa is very young in goalkeeping terms," Mark Schwarzer recently told The Athletic.
"He has a long way to go. He could be there for the next 15 years easily - if he stays fit and continues to get better and better.”