The 23-year-old was strongly linked with a move to Liverpool over the January transfer window.
“Perhaps you sometimes have dreams of playing abroad, I find that very sexy,” Leno told Sport1.
“What happens at the end is not known – but dreaming, I am always dreaming.”
Simon Mignolet has been under fire at Anfield this season and it is expected that Jurgen Klopp will sign a new goalkeeper in the summer.