The 18-year-old has long been linked with a move to Stamford Bridge, with reports suggesting talks have taken place between the clubs.
Lukaku has been tipped by many as a potential long-term replacement for Didier Drogba, although he would likely struggle to dislodge the Ivorian, Fernando Torres and Nicolas Anelka in the Chelsea pecking order in the immediate future.
That could result in the Blues deciding to farm him out on loan, as they have done with new goalkeeping recruit Thibaut Courtois, who joined Atletico Madrid the moment he completed his move from Genk.
But Lukaku told Belgian TV station VTM: "When I do leave, it will not be to be loaned out as Thibaut Courtois has been."
Lukaku revealed earlier this year that he dreamed of playing for Chelsea.
But he said on Sunday: "I want to go to a club where I can develop further. It's not that I just want to be transferred to Chelsea.
"At the moment, I am patient. I remain at Anderlecht and I am not thinking of a transfer."
Anderlecht last week denied receiving a ?20million bid from Chelsea for Lukaku amid reports general manager Herman van Holsbeeck had been in London for talks with the Barclays Premier League club.
Source: Team Talk
Source: Team Talk