The Dutchman has been heavily linked with a move to Barcelona from the French side but has now revealed that he hopes to see out the final months of his contract with Lyon.
He told Canal+: "I'm happy here. We have a great team, I really like the president, we'll see what happens.
"The president and I know what happened in the last four seasons. Let's keep going and enjoy my presence. I might be here until the end of the season.
"Let's focus on Saturday's game, let's be happy, we have a great team."
Depay has been linked with a move to the Nou Camp to once again link up with Barca boss Ronald Koeman as the pair worked together with the Dutch national team.
Koeman recently revealed that he hoped to add to his Barcelona squad during this month's transfer window but is happy with his team should the club not be able to make reinforcements.
He said: "Every coach always looks to the month of January and how the squad can be improved, just like I do.
"I have made a list of possible injuries and players that would be interesting to bring in. It depends on the club.
"If it's not possible, I can depend on the players I have already."