The Netherlands international was handed a Premier League opportunity when taken to Old Trafford for £25 million ($33m) in the summer of 2015.
He struggled to make his mark in England, though, and was offloaded to Lyon for £16m ($21m) in January 2017.
Depay has rediscovered his spark in France, contributing an impressive number of goals and assists, and is starting to register on the transfer radar of leading sides once more.
The 24-year-old is determined to earn another high-profile switch at some point, with the Dutch forward telling Helden: “Lyon is a big club, but not one of the five best in Europe.
“I want to go to a city that suits me and a club that suits me, to a team that really wants to play football.”
Depay added on the possibility of securing a move to the Santiago Bernabeu: “I always talk about Real Madrid, a royal club, white shirts with gold.
“But I’m focused right now on Lyon, and then we see where I end up.”
Depay managed just 53 appearances across his 18 months at United.
He mustered only seven goals in those outings and was allowed to move on as others were favoured by Jose Mourinho.
The door was left open for a return to Old Trafford, with Depay having hit the ground running in France.
He found the target 22 times across all competitions last season and has another six to his name this term, along with 12 assists.
It would appear as though a second stint with the Red Devils does not appeal to the highly-rated wide-man at this stage, with his sights being set on future moves to other destinations across the continent.