The 25-year-old signed for the French club in January 2017 and has got his career back on track following a disappointing 18-month spell with Manchester United.
He scored 29 goals in his first two full Ligue 1 campaigns and has seven in 10 outings this term, earning him links with a number of teams, including Tottenham.
Although recognising Lyon as a big club in their own right, Netherlands boss Koeman believes his side will reap the rewards of Depay joining a new side next year.
"He plays at Lyon and is even their captain sometimes," Koeman said at Tuesday's news conference.
"The fact that he doesn't play for the biggest team in the world clearly doesn't have consequences for his place in the national team. But if he plays at a bigger club, that will also be better for us.
"Still, Lyon is also a big club that always plays in the Champions League. Again, the fact that he plays in Lyon doesn't mean that he won't be selected for the national team.
"You always hope that every player plays for the biggest clubs that actually compete for the big prizes.
"I think he's the kind of player that should play at a club like that. If that's in the Premier League or at any other big club, that would be great for him. But you have to ask him about his plans."
Depay has started five of Netherlands' six Euro 2020 qualifiers but is doubtful for Saturday's trip to Northern Ireland due to injury.
The forward also missed the 2-1 win in Belarus last month and Koeman said: "It's nearly the same injury as last time, but in the other leg.
"He's very positive, because last time he was back on the pitch in about 10 to 12 days. It's too early now to say if he makes the Northern Ireland match.
"It might be possible that he skips the first match, but plays the second against Estonia. We'll have to wait how that develops day by day."
A draw in Belfast will be enough for Netherlands to seal a spot at next year's European Championship finals, but Koeman is targeting back-to-back wins to finish above Germany in Group C.
"It's the last two matches, the earlier we qualify, the better. A draw might be enough. But I'd rather take six points and win the group. In the end, qualifying is our goal, but I'd rather finish first."