With the Gunners currently only sitting in sixth position in the Premier League table, the future of Arsene Wenger remains in doubt and several high-profile names have been linked with the top position at the Emirates Stadium.
However, according to L'Equipe, Arsenal hold an interest in Favre, who is currently approaching the end of his second season at the Ligue 1 outfit.
Nice are only in seventh spot in the standings but during the last campaign, Favre led the club to third position, which secured a place in Europe.
Favre has previously held positions at Hertha Berlin and Borussia Monchengladbach, where he aided the development of current Arsenal midfielder Granit Xhaka.
The 60-year-old still has just over one year remaining on his contract at Allianz Riviera.