Among Penney's options is filing for bankruptcy protection, a person familiar with the matter told CNBC.

If the company does not make the payment within the 30-day period, it would result in an "event of default," with respect to its 2036 senior notes, the department store chain said.

It is entering into a 30-day grace period "in order to evaluate certain strategic alternatives, none of which have been implemented at this time," Penney said in a filing with the Securities and Exchange Commission.

J.C. Penney said Wednesday that it has chosen not to make a roughly $12 million interest payment due on April 15, as the coronavirus pandemic takes a toll on its business.

Even before the coronavirus pandemic forced the retailer to close all of its stores, Penney was already facing slumping sales and looming debt payments that include significant annual interest expenses.

"The Coronavirus (COVID-19) pandemic has created unprecedented challenges for department store retailers across the industry and has resulted in extensive store closings," a spokeswoman told CNBC in an emailed statement.

Penney has been in talks with its lenders since the middle of 2019, "to evaluate options to strengthen its balance sheet and maximize its financial flexibility, a process that has become even more important as our stores have also closed due to the pandemic," she said.

Penney is also considering asking creditors for transactions that would rework its debt outside of bankruptcy court proceedings, according to a report from Reuters, citing people familiar with the talks.

Moody's Investors Service on Monday downgraded Penney's corporate credit ratings with a negative outlook, revised from stable.

Although the retailer's liquidity is in good shape, "the widespread store closures as a result of the coronavirus pandemic and the continued suppression of consumer demand is expected to pressure J.C. Penney's EBITDA, impede its turnaround strategy and weaken its leverage to unsustainably high levels" Moody's Vice President Christina Boni said.

Penney's stock, trading around 25 cents, was down about 22% on Wednesday afternoon. Penney has a market cap of about $79.7 million. Its shares have fallen 77% in 2020.