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."
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.