The Uruguay hitman has been linked with a move to both the Gunners and Manchester City during the January transfer window, with club president Aurelio De Laurentiis claiming to have already rejected a £46m bid for the player.
However, Cavani has seemingly ruled out leaving the Serie A side by declaring his happiness in Naples.
"I am happy, I am happy here", Cavani told Sky Sport Italia when asked about his future.
"I just play and do my best, certainly to score, because I like it and I know that my contribution to the team is important, as well as to make my mark in this city, which has given me a lot."
Cavani scored the equaliser in his side's 1-1 draw at Fiorentina on Sunday.