The announcement comes as the Holy See holds as two-day conference on climate change, called 'People and Planet First: the Imperative to Change Course'.
According to the Guardian, Flaminia Giovanelli, a lay woman on the Pontifical Council for Peace and Justice, said: "I think that the Vatican bank may think of initiatives which are at the core of this change. So we will see in the future ... it [divestment] may be considered by the Vatican."
The Vatican Bank does not have large assets in fossil fuels, with 95% of its investments being in government bonds.
The Church of England recently sold off £12m off investments in tar sands oil and coal, the most environmentally damaging fossil fuels.
Meanwhile, the People and Planet conference at the Vatican has been highlighting the severity of climate change and things both individuals and governments should do to reverse.
It has linked Pope Francis' encyclical, the highest moral teaching a pontiff can issue, with three separate United Nations gatherings coming up before the end of the year, which all regard climate change and sustainable development.
The conference drew attention through a demonstration of thousands of people last weekend, and the enlistment of Canadian international author and climate change activist Naomi Klein, who is one of the main speakers at the event.
Naomi Klein has said in the past that only radical, political and economic change would bring the sufficient progress needed in efforts to reverse climate change.
Bernd Nilles is the Secretary General of CIDSE, a Catholic social justice alliance which organised People and Planet. He told Premier: "We have a really new and deeper theological understanding of how we human beings shall deal with our planet, and only by dealing with it in a sustainable way can we actually survive.
Responding to those who don't wish to change their lifestyles to protect the planet, he said: "That is the job of the Church. We are one human family, and we need to think as Catholics and Christians about every human being on this planet. That is our responsibility. That is our solidarity.
"In the long run, climate change is happening. We're going to have more weather extremes, we're going to have more problems.
"How the economy is driven today is lacking values, it's lacking ethical guidance. Pope Francis' is very clear about that. We need a completely new economic system, new economic models, which are more value based - taking all people into account.
"Let's really try, every individual, to try to reduce our energy consumption. Let's change the way we commute to work, let's rethink how we consume food. Is it really from the region... or is transported across all continents?"
Listen to Premier's Aaron James speaking to Bernd Nilles:
