The 23-year-old, who has also been linked with Southampton, is widely expected to depart Belgium this summer with a number of clubs interested in his signature.
"We are all ambitious. I want to move in my career. If I improve, big clubs from abroad will come for me," he told reporters at a press conference.
"The story of Arsenal was true but nothing materialised. Arsene Wenger is a great coach and to show an interest in me was fantastic. Newcastle could be great as well, but let's wait and see."
A number of Ligue 1 clubs, including Lyon, have also been credited with an interest.