The 28-year-old looks set to join Inter in a reported 15million euros transfer deal ahead of Friday's closure of the January transfer window.
A statement from Hernanes on his Facebook account read: "I cried yesterday (Thursday) after leaving Formello (Lazio's training ground) because there is a negotiation between the two clubs (Lazio and Inter) and I have the possibility to leave Rome, the city I love and the fans that I love.
"I told the (Lazio) president that I want to leave because I want to improve from a professional standpoint.
"I want to thank the president (Claudio Lotito) for his attempts in trying to convince me to stay until the last minute.
"This is my decision."
Hernanes joined Lazio in the summer of 2010 from Sao Paulo and is under contract with the Biancoceleste until June 2015.
The South American has scored three goals in 17 league appearances for the capital club this season.