The striker was the sixth highest scorer in the league last season with 17 goals.
"I already know where I'm going, or where I'll be heading back to, but I won't say any more than that," a grinning Lukaku said after Belgium beat Serbia 2-1 in a World Cup qualifier.
"The only thing I will say is that I want to succeed at Chelsea and I'm not scared of competition," added the 20-year-old who is likely to be vying with Fernando Torres and Demba Ba for a place in the attack at Stamford Bridge.
Lukaku knows he has to impress Jose Mourinho who has returned for a second stint as Chelsea coach following spells at Inter Milan and Real Madrid.
"I have to prove myself again, even if he gives me some credit you still start from zero every single day," the striker said. "I'm going there with the intention to succeed."
Lukaku's Chelsea club mate Kevin De Bruyne and Everton midfielder Marouane Fellaini were on target as Belgium defeated Serbia to go three points clear at the top of Group A qualifying.