Cavani, who has three-and-a-half years left to run on his Napoli deal, has been rumoured with moves to some of Europe's biggest clubs, but he has said that he remains committed to Napoli.
"I know nothing about Arsenal's interest, I have only heard about it now," Cavani told Radio Onda Cero.
"My future? I have a contract for four years but in football you never know what to expect. Barcelona and Real Madrid are teams which stimulate the imagination. But I only think about the present.
"I'm living the highest point of my career with Napoli and I want to concentrate on fighting for the scudetto. Along with my teammates, we want to give a dream for our people."
Napoli are currently three points behind Juventus at the top of Serie A.