Lukaku has just completed the season on-loan with Roma.
On last summer's SPL rumours, he told VTM: “It was really intense at that moment. For two weeks. For two days in a row I thought: 'Yes, I'm going', 'No, I'm not going'. I was scared for a moment, everyone only went there after I declined the offer."
After having already played in the Super Cup with Inter, Lukaku also went to Riyadh with Roma in January, for a friendly match against Yannick Carrasco's Al Shabab.
"I often spoke with Yannick about life there . He lives in a complex, but you really have everything there."
On his future, Lukaku, who is being linked with Napoli, said: "A lot of people like to talk, maybe because I don't have an agent. But I will decide. I have control of my situation. I will make a choice and once I explain it, everyone will agree with me.
"Look, every time I decided to stay or go away somewhere, some factors, for example my relationship with the coach, turned out to be the right choice.
“It's like having a relationship with a woman. If we don't click anymore, why stay together?"
Asked about the best coach he's worked with, he replied: "Antonio Conte."