The Chelsea forward is not expected to return to the Champion League winner and told Goal.com that he will make a decision on a new club after his U.S. vacation.
The 26-year-old Chelsea forward was a participant in Steve Nash's Showdown, a charity event for underprivileged children run annually by the two-time NBA MVP. Kalou was named the game's top performer and after the match, talked about Chelsea's victory over Bayern Munich.
"The Champions League, every footballer dreams of that," Kalou told Goal.com. "It's such a great competition and a lot of big players have gone without winning the Champions League.
"It is a moment in my career that I'll remember forever."
That moment will likely be his last with the Blues for Kalou, whose contract will expire at the end of June. He isn't expected to re-sign with the team.
During his time at Stamford Bridge, Kalou scored 36 goals in 153 appearances. A tweener on offense, he can play either up top or on the wings and his versatility has several teams interested. Liverpool, Juventus and several Turkish clubs have been linked with the Ivorian, who tried to poke fun of the transfer rumors at during Nash's event.
"You never know maybe I can play here [in New York]," Kalou said jokingly. "Why not? I love the city."
When pressed, Kalou admitted that he has allowed his representatives to focus on his future while he vacations in the United States.
"Right now, it's hard to say because right now I'm here to enjoy my holiday," he said. "After that, I will decide my future."
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Kalou's appearance in this year's Showdown marks his third time being involved with Nash's charity and he says that the pair have become friends over the past few years.
"I know him for a couple of years. I met him through a mutual friend," Kalou said. "This is my third game playing. When he invited me for the first one, it was a great honor. Every time I come out here, I enjoy myself.
"It is always important to come and help support kids."