It had been reported that Shockey passed a physical with the Miami Dolphins.
It is not known if Shockey, released by the Saints this week, and the Dolphins are negotiating a contract.
Shockey, a former Miami Hurricanes star, makes his offseason home in Miami's South Beach.
Acquired from the New York Giants in a trade at the onset of 2008 training camp, Shockey spent three up-and-down seasons in New Orleans and labored through injuries in all of them.
Last season, Shockey made 41 catches for 408 yards and three touchdowns in 13 games.
Shockey's resume includes 510 catches for 5,688 yards and 33 TDs in his nine-season career. The questions now are how many good seasons he has left and which teams want to take a chance on him.
In his three seasons in New Orleans, he caught 139 passes for 1,460 yards with six touchdowns in 38 regular season games, 34 of them starts.
Information from The Associated Press was used in this report.