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The 26-year-old has hit 57 goals in 139 outings for the French outfit, including his latest treble which came in a 4-1 victory over Dijon on Friday night.
Lyon picked up all three points in their first game of the Ligue 1 campaign thanks to Depay's hat-trick, with a Wesley Lautoa own goal compounding a miserable night for the visitors, who took the lead early on through Aurelien Scheidler.
Rudi Garcia's side could only secure a seventh-place finishin the league last term, which meant that they missed out on European qualification for the first time in 24 years.
They did manage to reach the 2019-20 Champions League semi-finals by knocking out Juventus and Manchester City in the earlier rounds, but ultimately failed to set up an all-French final against Paris Saint-Germain after losing to Bayern Munich in the last four.
Although Lyon will be aimingto push PSG all the way in the Ligue 1 title race in 2020-21, Depay is refusing to confirm that he will see their latest bid for silverware all the way through to its conclusion.
Former Netherlands boss Ronald Koeman is reportedly keen on bringing hiscountryman to Barca after being appointed at Camp Nou, and the midfielder has admitted that playing in Europe's elite competition is important to him at this stage of his career.
When quizzed on speculation surrounding his future after the win against Dijon, Depay told reporters: "I do not see the future, I do not know if I will do the full season here. I have been here for fouryears, I became captain.
"After you have to look at your career, there is no Champions League. At the moment I don't know."
Depay added on his latest performance and the need for Lyon to be more consistent in order to start fighting at the top of the table again: "I'm really happy to have scored three goals today.
"It wasn't the best game I've played but we start the season with three points, and that's the most important thing.