Horry is set to become a free agent July 1.
"I don't want to retire, especially after a year like I had last year," Horry told KRIV-TV in Houston. "I know I could have had a better year. The year started off crazy for me with family issues and then it ended crazy for me getting hurt right at the end of the season."
The defending champion Spurs lost in the Western Conference finals to the Los Angeles Lakers in five games. Horry averaged 2.5 points a game last season, 1.5 during the playoffs.
Horry, known as "Big Shot Bob" for a resume filled with clutch baskets, turns 38 in August.
During the playoffs, Horry passed Kareem Abdul-Jabbar for the most playoff appearances in NBA history. Horry finished this season with 244 playoff game appearances; Abdul-Jabbar had 237. Horry has been in the playoffs in every one of his NBA seasons.
"I didn't get a full season in like I wanted to see if it's really time for me to retire. My last game I want to walk off the court sweating. My last game so far I walked off the court with a DNP (did not play) and I don't want it to happen that way."
Horry said he would like to return to the Spurs, where he spent the last five seasons. If that's not possible, then he would like to go to the Houston Rockets, where he played his first four seasons.
"It's not about breaking the bank," Horry said. "I just want the minimum. I've made enough money. I just like being with the guys and competing and having fun."