In the wide-ranging interview, which will be broadcast on Tuesday, Lineker also discussed his footballing career, his son's leukemia battle as a baby, and his views on gambling sponsorship in sports.
Lineker said the football industry should rethink its responsibility when it comes to taking money from gambling firms.
"I know people [for whom] it becomes an addiction, it can completely destroy their lives," he said.
"There's talk about taking [logos] off the shirts, but you see it on the boards around the ground everywhere.
"I think football needs a long, hard look at itself about that, I really do."
On top of his presenting roles, Lineker is also the co-founder of Goalhanger Podcasts, which make the successful The Rest is History series and its spin-offs about Politics, Football, Entertainment and Money.
The 64-year-old indicated to Rajan his next career move "won't be more telly", adding: "I think I'll step back from that now.
"I think I'll probably focus more on the podcast world, because it's such a fun business and it's just been so incredible."
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