Aleksander Ceferin, who succeeded Michel Platini last month, is also looking to revive an open bidding process to host the final.
“It might be an idea but we have to speak about it,” Ceferin told reporters on Thursday.
“To go from Portugal to Azerbaijan, for example, is almost the same or the same as if you go to New York.
“It’s a European competition so let’s think about it.”
UEFA currently awards the finals without any tendering process, with stadium hosts decided in secret by the leadership.