The 26-year-old, who is out of contract at the end of the season, insists that he is very happy at the Ligue 1 club, but claims that he is ready to take on a new challenge.
"At this moment, Nice has the advantage in relation about my future," Pejcinovic told Blic.
"Living on the Cote d'Azur is something people dream about. Conditions are amazing, people are wonderful and after four years here, I must admit I feel like at home.
"But on the other hand, I think I have matured as a player and that I now need a great challenge in my career, maybe at a stronger European club. I am extremely ambitious and I believe that I will make the right decision."