The Lyon forward has been linked with a move to the La Liga giants during the transfer window although he is unsure if he will leave the French side.
Speaking to NOS after the Netherlands suffered a 1-0 defeat to Italy, Depay said: "We just have to see what will happen. I'll report to [Lyon] tomorrow and we'll see what happens.
"I haven't heard much more from my agent. I know that there is interest, but I don't have much more to say because I don't know much about it."
The former Manchester United player also expressed his disappointment after Holland were beaten in Amsterdam in the Nations League.
Depay said: "It had to do with the fact that we had little of the ball. The distances were huge. If we had the ball, then we had little energy to do things. No one was really free.
"We are winners and it is just a huge waste of such an evening. It was a tough game. We all have both feet on the ground."
Depay could reunite with former Holland coach Ronald Koeman should he move to Barcelona and he previously suggested that he was unlikely to stay at Lyon after they failed to qualify for the Champions League.
He explained: "I do not see the future, I do not know if I will do the full season here. I have been here for four years, I became captain.
"After you have to look at your career, there is no Champions League. At the moment I don't know."