Defender Terry, 36, is leaving Chelsea this summer after more than two decades at Stamford Bridge.
Swansea, West Brom and Bournemouth have been linked with the former England captain, while a move to China or the United States appear other options.
"I've got options but nothing sorted or in stone," said Terry.
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"Everyone keeps asking me and no-one believes me when I say that I've not got anything sorted."
Terry was an unused substitute in Saturday's 2-1 FA Cup final defeat to Arsenal at Wembley.
He has made 717 appearances for Chelsea and is a five-time Premier League title winner with the London club.
He has also won the Champions League and Europa League, as well as five FA Cups and three League Cups.
Although he has yet to make up his mind whether to retire, Terry is keen to become a manager once he does decide to stop playing.
"I think I've got too much to give and I've learned too much not to pass that on," he added. "I do want to be a manager."

Joey's Pizza has 212 stores across Germany with annual sales of â‚¬143m ($156.5m; Â£103.9m).
Germany is the world's fourth-biggest pizza market and the deal is worth up to A$120m ($86m).
The deal will increase the number of stores owned by Sydney-listed Domino's Pizza Enterprises to 1,870.
The joint venture will be two-thirds owned by the Australian company, with the remainder owned by the London-listed Domino's Pizza Group, which already has operations in Germany.
Don Meij, chief executive of Domino's Pizza Enterprises, said that entering the German market represented a long-term growth opportunity.
"The acquisition of the market-leading Joey's Pizza business provides immediate scale and marketing presence which we can build from," he said.
The company's Sydney-listed shares jumped more than 12% after the deal was announced. The stock has soared more than 125% in the past 12 months.
The Australian company also raised its profit outlook for the year to June by 30% -  to A$166.1m net income before tax and other items.
The Domino's brand globally is owned by the New York-listed Domino's Pizza Inc.
The London-listed company has more than 800 stores in the UK, and holds franchises in Ireland, Germany and Switzerland. Up to 15 of its German stores will be bought by the joint venture.
Shares in Domino's Pizza Group have risen by 38% this year and the company is valued at Â£1.6bn.
Domino's Australia is the world's largest franchisee for the pizza brand. It holds the Domino's brand network in Australia, Belgium, France, Japan, the Netherlands, New Zealand and Monaco.
The Joey's Pizza deal is expected to be completed early next year, subject to regulatory approval.
John Terry says he has not made up his mind whether to retire from playing and "needs a good week away to reflect" before making a decision.
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The companies that own Domino's Pizza in the UK and Australia have set up a joint venture to buy Germany's biggest pizza chain.