Depay was seemingly a key target for new manager Ronald Koeman as they looked to replace Luis Suarez, who left for Atletico Madrid last month.
However, the move did not materialise before the deadline on Monday night but the former Manchester United winger claims there were rules that prevented the switch.
"It was pretty close. We don't need to go into all the details, but there were certain rules that prevented it unfortunately," Depay told NOS.
"But I believe everything happens for a reason. I now focus on Lyon and want to be important there again. We'll see how things are going again afterwards. If I do my thing, the interest may still be there. I just have to switch that switch now."
Lyon president t Jean-Michel Aulas claims Depay could push for a transfer in the January transfer window.
"Today, he is disappointed, but not towards Lyon, more towards Barcelona.
"He is going to do everything he can to find himself in a position where he moves there in January. I have not abandoned the idea of extending [Depay's] contract, but as he has always said no, it looks difficult to do."
