The 30-year-old Russian has been linked with a move to big-spending Russian club Anzhi Makhachkala or Real Madrid.
"More than one time I have said that this season I will play in Arsenal colours. I would not play for Real Madrid for all the money in the world," he told the Evening Standard.
"For me, Real is a complete taboo because I'm an admirer of Barcelona."
Anzhi have been trying to attract some of Europe's top names, including Samuel Eto'o, after Russian billionaire Suleyman Kerimov took over the club in January.
Arshavin told Sport Express: "If I ever decide to come back to Russia, Zenit would be my first priority."