The 19-year-old striker has been a revelation at The Hawthorns in 2012/13, scoring 13 goals in just 15 Premier League starts for Steve Clarke's side.
After a bright start to the season, the Baggies have suffered a dip in form, which has halted their charge towards Europa League qualification, and hampered their chances of securing Lukaku's services again next year.
Some Blues fans have called for the Belgian international to be integrated back into the Chelsea first-team, but it looks as though he would prefer to play away from Stamford Bridge, in a bid to strengthen his claim for a place at the 2014 World Cup in Brazil.
Conscious that his action would be limited in west London, with Fernando Torres and Demba Ba to compete with for a starting berth, Lukaku is believed to have set his sights on another temporary switch away.
Chelsea have also been credited with an interest in signing a number of different strikers in the summer, which would push Lukaku further down the pecking order, if he were to return next season.