The Red Devils took a transfer hit on the Netherlands international when offloading him in January 2017.
A 13-goal return this season has sparked talk of another big-money move, with Serie A giants Milan reported to be leading the chase.
Depay is, however, turning a deaf ear to exit rumours, telling Eurosport: “I’m focused on Lyon.
“I live day by day. I get up every morning and thank God for giving me the opportunity to play football.
“If clubs are interested in me, this is certainly not the time to talk about it.
“But AC Milan are a great club and a great team with a great history, but there are a lot of big clubs around the world.”
Any move by Milan to land Depay would require them to beat United to a sought-after signature.
Despite seeing the 24-year-old flop at Old Trafford, the deal which took him to Lyon includes a buy-back option.
Mourinho told reporters when explaining the inclusion of that clause: “Because potentially he's a very good player.
“I think when Mr Van Gaal decided to buy him he did well, he knew him very well from the national team, he was very young when at the World Cup he had flashes of top quality.
“He was playing well in Holland, we know the Dutch league is not the same but he was showing very good things. So I think Mr Van Gaal and Manchester United did very well to buy him.
“He didn't succeed in his 18 months, but he's very young so I think it's important for the club to complete control of this talent and we all wish he plays very, very well at Lyon and why not to come back because everyone here likes him.”
It could be that Depay’s career path leads back to Manchester, with the Dutchman determined to fulfil his undoubted potential.
He recently told the Canal Football Show: “Of course I want to be the best in the world, I want to play against big teams and against big stars
“What am I missing to be the best in the world? Honestly, nothing in terms of quality, just consistency, and that's not arrogance.”