The Spaniard joined the Gunners from La Liga outfit Malaga for £15m last August, and received rave reviews following his early performances in North London.
The 29-year-old admits that he felt that he needed to make an early impression on the Arsenal faithful.
"It's been very good," Cazorla told Arsenal Player. "I'm enjoying the atmosphere here, especially the warmth shown by the Arsenal fans, which I didn't expect to receive from day one.
"The club and my teammates did a lot to help me settle in. Being new, coming into a different culture and not speaking the language is always difficult. But Arsenal made me feel part of everything right from the off, as if I'd been part of the side for years, and this was reflected in my performances on the pitch. I felt at home and I played well. But you can always improve.
"You always have the responsibility to play well. When you're new and have arrived at such a big club like Arsenal, you're aware of your responsibility to bring good performances onto the pitch."
Cazorla has scored 12 goals and made seven assists in the Premier League this year.