The 19-year-old is in the process of searching for a new club on a temporary basis after failing to break into the Blues' first team since joining last summer.
In recent weeks, Fulham has been touted as a possible destination but Henrotay has insisted that the Belgium international has no plans to move to Craven Cottage.
"I can assure you that Romelu is not going to Fulham," Henrotay told Sport/Foot. "I am currently finalising the details with another Premier League club.
"Romelu will go on loan. I cannot say which team he will join, or when it will happen, but things are progressing."
The teenager moved to Stamford Bridge from Anderlecht.