The 28-year-old was given the armband following Cesc Fabregas's move to Barcelona.
"I was very proud [to be made captain], obviously," he said. "If you look at the history of Arsenal captains, being part of that is a very special feeling.
"It makes me proud because Arsenal is a massive club. You look at Tony Adams, Thierry Henry, Patrick Vieira, Cesc Fabregas - those guys were proper captains. I like it, it feels comfortable and not weird."
The Dutchman is expected to feature for the Gunners in tonight's match against Wolverhampton Wanderers at Molineux.