Inter and United are locked in talks over a deal for Lukaku, who has yet to feature on his club's pre-season tour while his future remains uncertain.
United want £90million for Lukaku, whom they signed from Everton for £75m in 2017, but Inter only want to pay £60m, plus a further £15m in add-ons.
Asked if he was frustrated at Inter's failure to sign Lukaku, Conte said: “I think frustration is a big word. Lukaku is United's player, this is the reality.
“I think that in this moment we are talking about a player of another club and for this reason it's right not to talk about Lukaku, because he's a player of United.
“I consider this player important to us to have a great improvement, but at the same time there is a transfer market. We know our situation at the moment and we will see what happens."