Reports suggest four-time MVP James will leave Cleveland this summer having been swept by Golden State Warriors in the recent NBA Finals.
Houston Rockets, Los Angeles Lakers and Philadelphia 76ers are reportedly among the favourites to take the four-time MVP if he leaves Ohio.
James is one of the greatest players to have ever been in NBA, helping Miami Heat win back-to-back NBA Championships in 2012 and 2013.
He has also starred as Cleveland reached four NBA Finals in a row, winning one in 2016.
But Lue, who has been Cleveland coach since 2016, kept quiet on the future of the 33-year-old when spotted by TMZ Sports.
Lue comes across as frustrated in the footage though uncertain with James forming a big part of the Cavs recent history.
James has won three NBA Championships, also being victorious with Miami Heat.
He’s the only player in NBA history to record at least 31,000 points, 8,000 rebounds, and 8,000 assists during his career.
While he’s also the only star to average at least 27 points, seven rebounds, and seven assists for their career.
And while a number of teams have been linked to James, NBA pundit Nick Wright is surprised one franchise hasn’t.
He said: “I do give Boston a shot of signing him.
“I would caution against people that have decided ‘oh listen Lakers has the best chance’ and ‘all the momentum is going to LA’.
“At this point in the process, the only two times LeBron has left a couple of days after the season ended, whatever team was the favourite, he didn’t end up going there.
“A lot can change over the next three weeks.”