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Collins told the Evening Standard: "I do not want to end the final years of my career in the reserves. The manager knows I am not happy being on the bench or out of the squad and I still think I am more than capable of doing a good job in the Premiership.
"You expect it when things are going well in the team, but we have not had a great run in the league recently and that makes being left out difficult to understand.
"I'd love to be playing for Fulham and have had a great time at the club so I do not want it to end on a sour note. It would not be easy to leave but I love playing football and that is what I want to do.
"Once the transfer window opens I will see if any opportunities arise for me."
Collins' threat comes just 24 hours after Lee Clark threatened to leave the club in January - for the same reasons.
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