The 30-year-old is expected to leave Arsenal as a free agent when his agreement expires at the end of the season.
"I'm in discussion with a lot of clubs, I'm open," Lacazette said to Canal Plus.
Arsenal's captain refused to rule out returning to his former side Lyon, whom he left in 2017 to join the north London side.
However, Lyon are out of the Champions League spots in Ligue 1 in seventh, six-points behind third-placed Rennes, who occupy the playoff spot.
"I never cut contact with Lyon since I left," he added. "Now Lyon know that I'm free, they've come by the information.
"It's a bit more complicated. I want to play in Europe. It's been a long time since I've played in the Champions League, I miss it.
"Nothing is impossible in life, but it's a bit more complicated."
Lacazette was charged with leading Arsenal's attack following the departure of Pierre-Emerick Aubameyang in January, but has struggled to impact games at the Emirates, scoring only six goals in 31 appearances this season, with eight assists.
He missed Arsenal's 1-0 defeat to Southampton on Saturday after testing positive for COVID-19, with the result of the match denting Arsenal's hopes for a top-four finish this season.