Former Tottenham, Arsenal and England defender Campbell, also linked with the job at League One Oxford United, said he would consider going overseas to land his first managerial post.
The 43-year-old said he had been interviewed by Grimsby before they opted to appoint Michael Jolley as their new boss.
"I didn't have much time to prepare," he said. "It could be experience, knowing that division, I totally understand and I think it's fair. But you can get people around you who do.
"I understand there's always a plus and minus in everything you do, but there's experience in knowing the league.
"I'm prepared. If I need to get my hands dirty, I'll get my hands dirty. If I need to get someone around me who knows the league, I'll do that.
"That's all part of building a team together. You need your mini team around you to help you."
Campbell said he had been watching football in European leagues and added: "I'd look at going abroad.
"I just want to get going and get my hands dirty, use my experience and build -- but the trouble is you don't get much time to build.
"If I can get enough information and training, from maybe training kids of whatever, that'll be better for me than hanging around, not training, being able to say I'm doing X, Y, Z.
"When you look at it, when I retired, I wanted a bit of a break but within 18 months I started doing my courses. That took three and a half years, and that's dedication in itself."