He did not say what the alternatives were could be but closer relations between Russia and Ankara has caused concern in the West.
"Turkey always has alternatives. Europe should not forget: too much coyness can make love fed up," he said during a ruling Justice and Development Party (AKP) conference.
Turkey's bid to join the union dates back to the 1960s, although formal talks began in 2005. Only 16 chapters of the 35 chapter accession process have been opened.
Ankara has also attacked Brussels for not showing more support after the coup bid as EU officials criticised Turkey's crackdown against plotters and supporters.
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Tens of thousands of those working in the judiciary, military, police and education sector have been suspended, sacked or detained over links to the putschists which has alarmed Turkey's Western allies by its wide scope.
In March, the two sides signed a deal to stop the flow of migrants into Europe, which meant Turkey would receive billions of euros for refugees in the country.
The EU wants Turkey to amend its draconian anti-terror laws, a key condition for giving Turks access to the zone but Ankara has insisted the current situation does not make it possible.
Over the past 18 months, Turkish cities have suffered multiple terror attacks from jihadists linked to the Islamic State group as well as Kurdish militants.
Yildirim appeared to be frustrated with the bloc, saying that Turkey had been working for half a century to become an EU member.
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