The Gunners have had two bids for the Uruguayan striker rejected so far this summer, with their latest £40,000,001 offer turned away last month.
He told The Guardian: "I was surprised. I've got to say I've always associated Arsenal as a club with class and so there was a wee bit of a game there.
"For us, it's about moving on and doing our own work. There will come a point where they understand our position. Obviously they have an interest and they put that interest in with two bids which were nowhere near what the player is worth.
"That's within their right. There is a market in football for players but from us the message is constant. We do not want to sell."