The Belgium international was a big hit at West Bromwich Albion this term, scoring 17 goals in 35 Premier League appearances during his season-long loan spell.
The Baggies and West Ham United have already expressed an interest in securing his services for the 2013-14 campaign, but Lukaku appears to have his eyes set on a move to the Bundesliga.
“I’ll start the season with Chelsea then I will speak with the management to discuss the best choice. I am a realist,” Lukaku told the Sun.
“I still need to grow and for that I need to have time to play during the next season. Dortmund would be a good choice.”
The 20-year-old has only made eight Premier League appearances for Chelsea after completing an initial £10m switch to Stamford Bridge from Anderlecht in August 2011.
On Wednesday, West Ham United co-owner David Sullivan admitted it would be a dream to partner the Chelsea forward with Andy Carroll next season.
“Lukaku would be a loan again. We’d maybe buy him a year later if Chelsea decide they don’t want him,” Sullivan told the Daily Mirror.
“If we sign Andy, it would be a record signing for the club. He and Romelu would be devastating. The best strike-force outside of the top six or seven.
“Lukaku has been amazing for West Brom this season and I’d hope that he would prefer to live in London.”
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