Lukaku, 19, had been heavily linked with the Blues' west London rivals but reports suggest West Brom are now favourites to land him.
Agent Christophe Henrotay told Sport/Foot: "I can assure you that Romelu is not going to Fulham. I am currently finalising the details with another Premier League club. Romelu will go on loan. I cannot say which team he will join or when it will happen, but things are progressing."