The Belgium midfielder, who signed a new long-term contract in November, has already been linked with Chelsea this summer but insists he is happy at Goodison Park.
However, the lure of big-time continental competition, which Everton missed out on again this season, is a big draw for the 24-year-old.
“If I have got to go, I will go. If not, I repeat, I am at Everton,” Fellaini told Belgian radio station RTBF.
“I am ambitious; I want to play in the Champions League or in the Europa League.
“Last season we finished seventh with Everton, and we were not able to qualify for Europe, which was a shame.
“If an ambitious club comes in for me? Why not, just to gain experience but I’m on vacation right now, I do not give (speculation) too much attention.
“Every year they say I’ll be transferred to the left or right but I’m still at Everton.
“If it comes, I take, if it does not come, I stay at Everton, where I am happy, and where I still have a four-year contract.
“Everything goes fast in football. You can be transferred tomorrow, as you can be in one or two years.”