Depay is being targeted by Barca, where former Netherlands coach Ronald Koeman has taken over, and Roma.
The 26-year-old knows there is interest in him, but said it remained to be seen whether he would move.
"We just have to see what will happen. I'm going to report to the club [Lyon] tomorrow [Tuesday]," Depay told NOS after the Netherlands' 1-0 loss to Italy in the Nations League.
"Then we'll see. I have not heard much further from my agent.
"I know there is interest, but I don't have much else to say about it because I don't know much about it."
Depay scored 15 goals in 22 games for Lyon last season despite suffering a ruptured anterior cruciate ligament in December.
He started the 2020-21 Ligue 1 season with a hat-trick against Dijon last month.