The 23-year-old managed just 7 goals in 46 games for United during the 2015/16 season and was eventually sold to Ligue 1 side Lyon in the January transfer window.
Despite exiting United earlier than he would have liked, the Dutchman has no regrets about his decision.
He told 'TuttoMercatoWeb' that he is "very focused on Lyon, and I'm very happy about the choice."
United added a buy-back clause into Depay's contract when he joined the French side, but the wingers insists that a potential return is not in his thinking.
"No, if I'm honest, it's not in my thoughts," he replied when being asked about the possibility of a return to Old Trafford.