The Hungarian goalkeeper has fallen out of favour at the Stadium of Light following their 7-2 defeat at Chelsea.
Fulop has previously been linked with a loan move to Wigan.
“There’s no truth that I’ll join Wigan on loan. I smiled when I saw the reports,” he told NSO.
“But it’s sure that I leave Sunderland this summer.
“I still don’t know where I’d go but I’m sure that I’d like a change.”