The 25-year-old signed a five-year deal with the Bavarians in January, and will join up with them at the end of the current campaign.
However, the marksman reveals that the Gunners goalkeeper tried to act as a middle man and sell him the idea of life in North London before agreeing a switch to the Bundesliga and European champions.
He told Polish newspaper Fakt: "I can confirm that Wojciech Szcesny tried to convince me to join Arsenal.
"We had several talks about this. It was him who did most of the talking, how the club looks inside, what [Arsene] Wenger thinks of me."
The Premier League giants face Bayern in the last-16 stage of the Champions League this month.