"Obviously, stuff is changing and stuff is happening but there were some players that we could have got, that I knew the club could have got, and they didn't get," the 23-year-old told reporters on Wednesday.
"No matter where you play you want to be remembered. You cannot only be remembered by scoring goals, you want to be remembered by winning trophies.
"That is what the fans want. So instead of living in the past, you have to think ahead."
British media reports said Lukaku had rejected a new long-term deal from Everton earlier this week that would have made him the best-paid player in the club's history.
Everton last won a league title in the 1986-87 season, when they were crowned champions of the old First Division, and the club's last major trophy was the 1994-95 FA Cup.
Lukaku, who is the Premier League's joint-top scorer with 19 goals this season, said he wanted to play in the Champions League.
"You need the platform to show yourself ... Champions League and whatever types of games," he added. "The big aim in football is to win as many titles as you can."
Everton, who are seventh in the league, host 18th-placed Hull City on Saturday.
(Reporting by Hardik Vyas in Bengaluru; Editing by Peter Rutherford)
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