"Everyone in England is talking about me and as a player I am improving. I am having that certainty, that consistency in my game," the 19-year-old Belgium international was quoted as saying in a preview of the programme on the BBC website.
"It wasn't the fact that I wasn't wanted. I think I was wanted but I had to make a decision for myself and analyse what was the best thing for me."
Lukaku, who has scored seven goals in eight Premier League games for Everton so far this term, said the last time he heard anything from Chelsea was "a couple of months ago" but "I think they are watching my performances."
Earlier on Friday, Chelsea manager Jose Mourinho told a news conference Lukaku should explain why he left Chelsea.
"You know, Romelu likes to speak, he's a young boy, he likes to speak, but the only thing that he did not say is why he went to Everton on loan," Mourinho said when asked about the striker.
"That is the only thing he never said and my last contact with him was to tell (him) exactly that. Why (do) you never say why you are not here?" added the Portuguese coach.
British media have questioned why Mourinho let Lukaku leave the club on loan after he missed a penalty in Chelsea's defeat by Bayern Munich in the Super Cup contested by the Champions League and Europa League winners at the start of the season.
Chelsea have struggled for consistency this season with injuries to their main strike force of Fernando Torres, who missed two games earlier this month with a leg injury, and Samuel Eto'o, who is out for two weeks with a hamstring tear.
(Reporting by Tony Goodson; editing by Ken Ferris)
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