Lukaku was a top target at the start of the transfer window, however, United pip the deal spending £75million to bring the hitman to Old Trafford instead.
Chelsea have already sealed deals for the likes of Antonio Rudiger and Tiemoue Bakayoko.
But their attempts to land a top striker have so far failed, with Diego Costa expected to seal a return to Atletico Madrid.
Express Sport report Conte was quite upset after Lukaku joined United because he had made a deal for the Belgium international a top priority.
Reports also claim that Chelsea owner Roman is unwilling to splash the cash to get Morato over to Stamford Bridge which has Conte Frustrated.
Alvaro Morata remains Chelsea’s number one target in their search for a new centre forward despite emerging competition from AC Milan.
See Also
Chelsea star has no plans to join Chelsea’s pre-season
Conte to offer Chelsea star as part of Alex Sandro deal
Done deal: Striker agrees terms of Chelsea transfer