Arsenal boss Arsene Wenger revealed over the weekend that he was keen to add to his squad before the transfer window closes, with a defender believed to be his number one target.
With that in mind, 24-year-old M'Bengue believes that he is the player Wenger wants to take to the Emirates Stadium.
"Arsenal's interest? To be honest I didn't expect it," M'Bengue told L'Equipe. "When such a big club is thinking about you, it is great pleasure, but you are above all surprised.
"It is really flattering. Moreover, the Premier League is the league where I would like to play."
The left-back signed professional forms with Toulouse in 2007.