The 25-year-old posted a photo of himself in a red suit, boarding a red plane with the caption, 'Merci Lyon' which created plenty of chatter.
Many fans jumped to conclusions, putting two and two together to come up with Depay moving to Anfield, but this is reportedly not the case.
Sky Sports News have reported that Liverpool actually have no interest in the Netherlands international and no deal is being struck.
It is not clear if Depay was hinting at a switch to another side or that the whole thing was a red herring and a bit of mischief from the former Manchester United man.