The 23-year-old, who has been linked to Everton, is keen to move to a new club at the end of the season, with Arsenal his preferred destination.
"There is a good philosophy at that club and there is confidence in young players in a technically strong team that cares about football," Batshuayi told Belgian TV show La Tribune. "I've loved the club from childhood.
"I am a person with vision, I want [to move] ahead as quickly as possible. I'm going to make a decision in consultation with my agents and my family but, at this moment, I have signed nothing."
The forward's 18 goals so far this season have placed him as the Belgium Pro League's top scorer.