The 48-year-old has watched Southend’s last two games and chairman Ron Martin says he is going to Stockholm to “meet potential backroom staff'”.
Larsson is, though, one of five shortlisted candidates, also including current caretaker manager Gary Waddock.
Kevin Bond resigned as Southend boss on 6 September after six straight defeats.
“I said when Kevin Bond departed that there would be no ‘knee-jerk’ reactions and his replacement wouldn’t be instantaneous,” Martin wrote in a statement on the club website.
“We know the qualities within the manager that we are looking for, but the combination of those characteristics or persons are not always available and its right we carry out, as we are, proper due diligence in arriving at the right choice.
“Henrik Larsson is obviously one of the individuals that we have been interviewing, but he is not the only candidate and no decision has been made as I write this statement.”
Martin hopes to have decided on a successor to Bond by the end of the week, with the club third-from-bottom of League One after just one win and one draw from their 10 matches.
“I maintain we have a good squad of very capable players but they need direction and certainty too,” Martin added.
“It’s my WISh to get through this process this week but I have to be clear that in making that decision I have more than one eye on the future in my aspirations for our club.
“This has been a factor as to why I have looked further afield than some of the merry-go-round of English managers.”