Reports in Saturday's newspapers suggested Lukaku is close to signing a permanent deal with Everton, where he scored 16 goals during a loan spell last season.
But Sky sources say Belgium striker Lukaku will be back at Stamford Bridge after his post-World Cup holiday.
Roberto Martinez has made it clear he would like Lukaku to return to Goodison Park, and Everton have also enquired about Chelsea winger Christian Atsu.
The Ghana international spent last season on loan at Vitesse Arnhem in Holland before going to the World Cup, and Chelsea could sanction another temporary move.
Sky sources close to Atsu have indicated he would welcome the chance to join Everton.