The Chelsea player believes such a target is possible despite the Baggies' mid-season slump which ended with a 2-0 win at Liverpool nine days ago.
The Baggies are currently in ninth spot - just five points off sixth place, which could earn them a Europa League spot.
Lukaku, who has scored 10 goals this season, told the Wolverhampton Express and Star: "Europe is still a target, especially for me.
"I think that's the next step for me and I think it is the next step for the club as well.
"You have to take things one step at a time but if the club gets stronger for next year, then why not?"
Lukaku has already indicated that he would like to return to the Hawthorns for a second season and he admitted: "This year has been wonderful."