Talks over the Ospreys, Scarlets, Cardiff Blues and Dragons moving across the border have been widely reported, but former Wales fly-half Davies was the first figure in the regional game to publicly confirm them.
Regional Rugby Wales, the umbrella organisation representing the regions, is at loggerheads with the WRU over competition structures and revenues from next season, as well as how to keep top Welsh talent within the principality.
The regions are keen to join the Rugby Champions Cup, an alternative to the Heineken Cup suggested by the English clubs, which they claim will earn them an additional £1million each a season.
The WRU is committed to fielding sides in the existing European competition, currently run by European Rugby Cup (ERC), and the RaboDirect Pro12.
Davies, speaking on a BBC Wales Scrum V debate over the state of the regional game, when asked if joining the English top-flight was an option, said: "It is an option."
He added: "Our understanding with the English clubs, it is quite solid whilst not underestimating the enormous hurdles that are in the way of that happening.
"What are our options? The European Cup will be an extended Pro 12 in effect and I cannot see the tills ringing to see us play Zebre for the fourth time in a season.
"The Pro 12 does not have a sponsor and the Italians claimed this week they are pulling out. What options do we have?
"We need to look at this new European competition and commit ourselves to the domestic league."
However, an Anglo-Welsh tournament would require the support of the WRU, the Rugby Football Union and the International Rugby Board, which is unlikely to be forthcoming.
The two sides failed to agree an extension to the Participation Agreement by the end of December, with the regions putting forward a new deadline of January 31, and the WRU suggested it could form new sides to represent Wales in their chosen competitions.
But chief executive Roger Lewis denied that was the case.
"I have not had any private conversations about setting up new regions," he said. "I am committed to making the four regions work.
"Let's treat this with the seriousness it deserves. This is Welsh rugby and we will continue to work until we get the right solution for all of Welsh rugby.
"We are not going to play media games on deadlines. We did not set the December 31 deadline and we will not set one of January 31.
"I don't want to get stuck into a corner. The real question is, where will the regions walk to?
"The RFU have told us they will not let the Welsh regions join the Aviva Premiership. They have told us."