The 23-year-old has registered eight goals and seven assists in 12 Ligue 1 outings - and those performances have naturally led to interest from afar.
But as Lille look to sustain their impressive start to the campaign, Pepe is ignoring links with some of Europe's heavyweight clubs.
He said: "A preference between Dortmund, Bayern or Arsenal? They’re all big clubs.
"I was not aware of these rumours, although it’s nice.
"Will I leave Lille at the end of the season? We do not even know what I’ll be doing tomorrow!"
But amid their fight for a Champions League place, manager Christophe Galtier says Pepe will not be allowed to leave before the end of the season - though he admitted the club are not "immune" to offers during the January transfer window.
"Nicolas has become an intransferable player," he said in September.
"I know that the president wants to keep him all season, and Nicholas also wants to stay for the full season.
"I think players will join the side, but we're not immune to offers in the winter transfer window."