However, Heynckes hails Gunners manager Arsene Wenger for his success with the Premier League club.
"As soon as Arsene Wenger came to Arsenal, the club enjoyed success," he told reporters. "For many years they have played the best football in England, perhaps not the most efficient.
"They have nurtured a number of world-class players down the years, many of whom have moved on to different clubs.
"It's no secret that you must keep your best players if you want to be successful in this competition."