Depay struggled to make an impact in English football during 18 months with Manchester United, but the winger has since gone on to score eight times in 27 appearances for Lyon.
Koeman has admitted that he tried to sign 23-year-old before he linked up with the French club, and Koeman has acknowledged that his Dutch compatriot will pose a constant threat at Goodison Park on Thursday night.
The 54-year-old told reporters: "Of course the club didn't get an agreement with Man United and Depay chose to move to Lyon.
"He's still a young player, he's one of the Dutch talents for the future. He's always dangerous even when he's not on his level in the game he has qualities in free kicks and shots outside the box - he's that dangerous player we need to control."
Lyon currently sit one point above Everton in Group E.