The two actors were in New York for media events on Saturday marking the 20th anniversary of the TV premiere of "The X-Files."
Duchovny says "all the principals are on board," for another movie, including Anderson and "X-Files" creator Chris Carter. He says "it's really up to Twentieth Century Fox at this point."
Twentieth Century Fox has not commented on whether there are plans for another movie.
The Associated Press contributed to this report.