Multiple media reports, including from the New York Daily News, New York Post and Sportsnet, say the hockey icons have expressed interest in the job, which opened up when John Tortorella was fired Wednesday.
The Rangers have not had any comment.
Messier is a legend in New York, where he led the Rangers to the Stanley Cup in 1994, ending a 54-year championship drought. He serves as a special adviser to general manager Glen Sather and has no NHL coaching experience.
Gretzky, who won the Stanley Cup four times with the Edmonton Oilers in the 1980s playing with Messier and with Sather running the team, coached the Phoenix Coyotes from 2005-09, posting a 143-161-24 record and failing to make the playoffs. He has not officially been involved with the NHL since leaving the Coyotes.
Gretzky finished his playing career with three seasons in New York and was a teammate of Messier's in 1996-97, when the Rangers reached the Eastern Conference Final.
TSN also reported Friday that the Rangers have been granted permission to talk to Dallas Eakins, coach of the Toronto Marlies of the American Hockey League, and Alain Vigneault, who was fired as coach by the Vancouver Canucks with two years remaining on his contract.