The 19-year-old, who moved to Chelsea from Anderlecht a year ago, started only four times last season and came on as a substitute on eight occasions.
Lukaku told De Standaard newspaper that he would often leave a match after 70 minutes if he was watching from the stands and said he felt no sense of achievement when Chelsea won the FA Cup, in which he played only a few minutes in the third round.
"When [Salomon] Kalou put the cup on my lap in the bus I asked him to take it away immediately. I didn't want to touch it because just as with the Champions League I had no part in it at all," he told the newspaper on Thursday.
"I don't like people talking to me about the Champions League. It wasn't me, but my team that won the trophy."
Lukaku said he had improved in training, was eating far fewer hamburgers and, despite good performances in the matches he had started, had failed to win a regular place in the team.
"Chelsea really wanted me last summer and paid a lot for me but after a while I thought are you just throwing money around?," he said.
Lukaku said he would seek talks with Chelsea's manager, whether that was incumbent Roberto Di Matteo or a successor.
"During the conversation with the manager I will see whether he's serious about me or not. If not, I will go away on loan. I have to play," Lukaku said.
Fellow Belgian, goalkeeper Thibaut Courtois, joined Chelsea from Racing Genk a year ago, but was immediately loaned out to Spanish side Atletico Madrid and was part of their Europa League-winning team.
