Lukaku has made only six Premier League appearances - all as a substitute - since signing from Anderlecht last summer, and has not played at all since Roberto Di Matteo took charge of the club.
"Let's wait and see who is appointed Chelsea manager, but as it stands I'll be going out on loan," he said. "Playing games is the most important thing for my career right now and for that reason it's better to look at other places."
Asked if he would join another English club, he said: "I leave all options open. I know that I am capable of playing for a top club in Europe, but perhaps it is better that I take one step backwards now so I can then take two forwards.
"My aim is to gain experience and then return to Chelsea. I need to put myself back in the picture so I can play with the Red Devils [Belgian national team]."