The Belgian striker was expected to be part of the manager's plans at Stamford Bridge this season after spending the last campaign at West Bromwich Albion.
However, the 20-year-old eventually signed a season-long deal with the Toffees at the end of the summer transfer window.
Lukaku, who has scored four goals in his last four games, is now relishing the chance to show his parent club what they are missing out on.
"I chose to leave and it's up to me to prove the coach wrong," the Belfast Telegraph quotes him as saying.
"The only thing I can do is play well and score a lot, and then I think people will say that I'm a good player.
"I want to score more goals than the strikers of Chelsea. We will see at the end of the season who made the best choice."
Lukaku joined Chelsea from Anderlecht in 2011 for around £10m.