Depay is believed to have courted interest from White Hart Lane following his performances for the Netherlands in last summer's World Cup.
The 20-year-old then signed a contract extension with the Dutch giants as speculation subsided, but Cocu says that his "explosive" winger is destined for bigger things than the Eredivisie.
"Of course Memphis will be sold, you can't stop that but it's okay," Cocu told Helden. "It's great you can build up a player like him, who breaks through, succeeds at PSV then leaves the club when he's ready for a bigger step. That's great.
"I really thought it would be the best for him if he stayed here with us this season. It's important for him to play around 50 matches in a season before he makes the next step.
"Nothing else makes you a better player than a lot of games. He can become way better, he's so explosive."
The Dutchman, whose PSV contract expires in 2018, is thought to have a £17m buyout clause included in his latest extension.