The 28-year-old was linked with a move to the Emirates Stadium after Arsenal's bid to sign Julian Draxler from Schalke fell through.
However, the former Chelsea man has said that wanted to remain at Lille to help them enjoy a successful end to the season.
"A possible departure? Yes, to Arsenal," Kalou told L'Equipe. "A loan deal could have been done at the last minute.
"However, I want to finish third [in Ligue 1], prepare for the World Cup and go to the Stade de France to compete in the Coupe de France final."
Kalou joined Lille from Chelsea in 2012.