The actor, 52, and his wife Kyra Sedgwick, 45, lost a significant part of their savings to Madoff's fraud before he was jailed in 2009.
Robert De Niro is set to play Madoff in a movie adaptation of the Ponzi scheme but Bacon is keen on playing himself.
He said to UK newspaper The Sun: 'How great would it be if I could play myself and make an appearance and get a chance to work with Bob again?'
Speaking about what happened to him and his wife, Bacon added: 'When this happened to us and it was all gone overnight, we said: 'We are in this together, we are healthy, our children are healthy and we can work.' So don't feel too sorry for the Bacons.'