Burgess, who scored a try in Wigan's Super League Grand Final loss to Leeds, will join Sydney Roosters next season.
The 20-year-old told BBC Sport: "100% it is an unfinished chapter at Wigan.
"Obviously it is a new chapter going to the Sydney Roosters but I will come back and win everything with Wigan."
Since his first-grade debut in 2013, Burgess has scored 57 tries in 61 games.
But despite first breaking into the Warriors senior side in their double-winning season of 2013, he did not feature in either the Challenge Cup or Super League Grand Final wins that year.
The uncapped winger, who has been named in Steve McNamara's England squad to face New Zealand and France in their upcoming international series, has scored in both of Wigan's successive Grand Final losses.
"As a Wigan fan, to go so close with all my mates and go out like that is devastating," Burgess said after Saturday's defeat at Old Trafford.
"This result will kill me for a while yet."
Reflecting on his brief senior Wigan career and meteoric rise from academy product to Warriors' leading try-scorer in 2015, Burgess said he played as a fan living his dream every game.
"I'm just proud of every moment I got to play for Wigan," he added.
"Four or five years ago I was on the coach going to Leeds as a fan and then I've had my chance to play every week - I'm so grateful for it.
"It was so surreal every time I played for them."
Australia-bound winger Joe Burgess says he will return to Wigan Warriors before the end of his career with the aim of collecting every trophy in British rugby league.