Jenner said to the crowd that over the next two years she will decide if working with her foundation or from inside the government is more effective.
She also said she will not give President Trump a pass despite her Republican party ties, CNN reported.
"My loyalties are not with Donald Trump. I will come after him and come after Republicans if they come after my community," the Olympic gold medalist said. "I've got a voice and they better listen, OK? I will come after them."
Jenner also explained how she has been approached for years at speaking events about running for office. "I've got way too many skeletons in my closest," she said.
"Or would I be better working from the inside," Jenner continued. "If that is the case ... I would seriously look at a run. It just depends where I could be more effective."
Recently, the 67-year-old spoke with People magazine regarding Trump and Republicans stating, "But my loyalties and my fights are not going to be with the Republican party. My loyalties are with my community and fighting for my community."
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Also on Tuesday, Jenner appeared on Live with Kelly to promote her new memoir "The Secrets of My Life" where she discussed the effect ex-wife Kris Jenner had on her life.
"I loved her, she's a great woman and she turned my life around," Jenner said of how she was in a dark place before the pair met.
"She really did. She got me back into work, she got me back working out, and did a lot of really really good things and we wound up having wonderful children."
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