The 28-year-old is reportedly on the verge of a move to Inter Milan, and has explained the reason why he was seen crying as he left training on Thursday.
"I would like to explain my tears because I've seen they have been misunderstood, I cried not because the club president was stopping me leaving," he wrote on Facebook. "I cried because the negotiation between the two clubs is happening.
"I had the possibility to leave Rome, the place I love, the supporters I love. But it has to be me who told the president I would like to leave because I think it's best for me on a professional level.
"I want to thank the president (Claudio Lotito) for his attempts in trying to convince me to stay until the last minute. This is my decision."
Hernanes joined Lazio from Sao Paulo in 2010.