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The 27-year-old, who joined Lyon from Manchester United in January 2017, will make his final appearance for the club against Nice on Sunday in a game that could secure them Champions League football next season.
Lyon are currently fourth, one point behind Monaco who occupy the final Champions League spot.
"It feels weird to think that this is my last game here," said Depay, who has a lion tattoo on his back.
"It makes me sad to go to an empty stadium, without the supporters." Last September, Depay was reported to be close to joining compatriots Frenkie de Jong and Ronald Koeman at Barcelona in a transfer worth 25 million euros ($29.6 million) but the move never came off.
With Koeman looking to rebuild at Barca, the move may return to the table.
