The Belgium international left Old Trafford after two seasons this summer to join Antonio Conte’s Inter Milan.
Sanchez could still join him there before the end of the Serie A transfer window on 2 September, while Pogba has hinted at wanting to leave amid interest from Real Madrid.
Speaking to NBA player Josh Hart’s LightHearted podcast, recorded before his exit, Lukaku explained that he and his two former team-mates were unfairly targeted for criticism when things weren’t going well for Manchester United.
"They have to find somebody [to blame]," Lukaku said.
"Either it's Pogba, me or Alexis. It's always the three of us.
“So, for me, I just see it in many ways: a lot of people don't think I should be part of that system, that's my feeling. The conversations that I have, I just know.
“What makes me laugh is: how is shit going bad with my team but with my national team it's good?"
Lukaku added that he didn’t feel wanted by the club when speculation began to circle over his long-term future at Old Trafford.
“A lot of stuff has been said where I didn’t feel protected,” he said. “I felt like a lot of rumours, ‘Rom going there’, ‘They don’t want Rom’, and nobody came out to shut it down. It was for a good three, four weeks. I’m waiting for someone to come out and shut it down. It didn’t happen.
“I had my conversation, told them it was better to go our separate ways. If you don’t want to protect somebody, all these rumours come out. I just wanted you to say, ‘Rom is going to fight for his place’ but it never happened for four, five months.
“If you’re happy, you find a way; it doesn’t matter if you’re on the bench or starting. But nobody told me that was the situation, so I thought for two, three weeks to analyse, see all this shit coming out in the media. Who leaks it? Not me. Not my agent. I see it on my phone come out of nowhere.
“I told them it’s not good for me to be at a place where I’m not wanted. We’re not stupid. They consider us dumb, but we are not dumb; we know who is doing leaks and stuff. I told them, you can’t be working like this, it’s better for me to go now.”
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