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."
"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.
