The Holland striker only signed a three-and-a-half-year contract at Turf Moor in January, joining from Wolfsburg for a reported £12million fee.
Weghorst scored twice in 20 appearances as Burnley were relegated and the 29-year-old says he must leave, given his ambitions to make Holland’s World Cup squad later this year.
“My future won’t be next year in Burnley,” Weghorst said.
“I won’t go into the Championship – not that I feel too good for it, absolutely not.
“I am just really ambitious and also for the squad of the national team.
“The trainer (Louis Van Gaal) wants us to play at a high level.
“There are some options for me and just a higher potential of a league than the Championship.
“I have to take the chances offered there. We will see what the future will bring.”
The 6ft 6ins Weghorst is disappointed that his Burnley move has not worked out as planned.
But he is hopeful that he could still play in the Premier League next season.
“It could be a loan or a buy,” said Weghorst, who scored Holland’s stoppage-time winner in their 2-1 Nations League victory over Wales on Wednesday.
“I didn’t make the move to Burnley believing in the whole concept with the American owners for just a half-year.
“I could see the bigger picture and I have got the feeling I am not done in the Premier League.
“I spoke with Burnley. I have a really good relationship with the owner (Alan Pace) from the beginning and still do.
“I was believing in a different kind of thing. I really hope they will return directly to the Premier League.”
Burnley’s six-year stay in the top flight came to an end after long-serving manager Sean Dyche was sacked with eight games remaining.
Caretaker boss Mike Jackson won 10 points from his first 12. But Burnley went down after picking up only one point from their final four games.
Weghorst said of Dyche, who signed him: “Of course you think about it and consider everything in your head.
“When that happened in that moment we were not playing good or well.
“Then, after a really good start we picked up some bad results.”