The 21-year-old has become an integral part of Arsene Wenger's team in the last few seasons after making his first-team debut in 2013.
It has also been reported that Barcelona are interested in welcoming back the Spaniard, who spent eight years developing in the Catalan giants' academy.
Amid the speculation over Bellerin's future, Cazorla has claimed that Arsenal need to keep hold of the full-back.
"We'll see [what happens with Bellerin]. It is clear that Hector is the right-back of the future," Cazorla told IBTimes. "You could see in the victory over Swansea [last weekend] how good he is. He was all over the place and never stopped running. For Arsenal it would be a mistake to let him go.
"It is obvious that many teams want him. There has been talk about Manchester City and Barcelona. He is a player with great potential and I am sure he will also be a key part of the future of the Spanish national team."
Bellerin has made 76 appearances in the Premier League and Champions League during his time at Arsenal.