Lukaku is on a straight loan at Roma and remains under contract at Chelsea next season.
After scoring in Roma's Europa League win against Brighton: "I don't want to cause any controversy in England, I have to be intelligent about it.
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The 30-year-old Belgian clearly feels comfortable in Italy. He has contributed 22 goals (18 goals, four assists) in the current season.
It was a different experience," says Lukaku, but the fans love me. I'm doing my best to help the club."