Rashford was dropped for Sunday's win at Manchester City, with Amorim warning he "sees everything".
Speaking to Henry Winter on X, Rashford said: "If I know that a situation is already bad I'm not going to make it worse. I've seen how other players have left in the past and I don't want to be that person.
"When I leave I'll make a statement and it will be from me.
"When I leave it's going to be 'no hard feelings'. You're not going to have any negative comments from me about Manchester United. That's me as a person.
"For me, personally, I think I'm ready for a new challenge and the next steps."
He also stated: "It's disheartening to be left out of a derby, but it's happened, we won the game so let's move on.
"It's disappointing, but I'm also someone as I've got older, I can deal with setbacks. What am I going to do about it? Sit there and cry about it? Or do my best the next time I'm available."
- Get breaking football news faster with the new Tribal Football app! Download now on iOS and Android to stay ahead of all the latest transfers and football updates. Download now: App Store, Google Play