The Belgium international joined Inter Milan this summer for a fee of around £73m after falling out of favour at Old Trafford under Ole Gunnar Solskjaer.
Speaking to the LightHarted Podcast with Josh Hart – an NBA star for the New Orleans Pelicans – in an episode recorded prior to his departure to Italy, Lukaku said: “A lot of stuff has been said where I didn’t feel protected.
“I felt like a lot of rumours, ‘Rom going there’, ‘they don’t want Rom’, and nobody came out to shut it down.
“It was for a good three, four weeks. I’m waiting for someone to come out and shut it down. It didn’t happen.
“I had my conversation, told them it was better to go our separate ways. If you don’t want to protect somebody, all these rumours come out. I just wanted you to say ‘Rom is going to fight for his place’, but it never happened for four, five months.
“It was all, ‘he’s got to go, he doesn’t deserve to be there’. Well OK, then I want to go now. There is fighting for your position, but also being somewhere that people want you to be.
“If you’re happy, you find a way, it doesn’t matter if you’re on the bench or starting. But nobody told me that was the situation, so I thought for two, three weeks to analyse, see all this **** coming out in the media. Who leaks it? Not me. Not my agent. I see it on my phone come out of nowhere.
“I told them it’s not good for me to be at a place where I’m not wanted. We’re not stupid. They consider us dumb, but we are not dumb, we know who is doing leaks and stuff. I told them, you can’t be working like this, it’s better for me to go now.”
Lukaku left United having scored 42 goals in 96 matches after joining from Everton for £75m in July 2017.