Fulham have been linked with a move for the Holland international, who has been dislodged as Roma No.1 by Mauro Goicoechea this season.
Stekelenburg's agent insisted earlier this week there had been no bids for his client, but the 30-year-old admits the situation is frustrating and he is unhappy that he has not had an explanation from Zdenek Zeman.
"I became a keeper to play, not to stay on the bench," he told Sport-promotion.nl. "I must think also about the future.
"Why have I lost my place ? I don't know because I never had an explanation. I never spoke with coach Zdenek Zeman.
"I don't know what I must to do to improve. I think it's him who has to tell me something.
"I did not see the need to sign Goicoechea. We already had two good keepers in (Bogdan) Lobont and me."