The 25-year-old, who has expressed a desire to leave the Ligue 1 side, admitted that he would be keen to make a switch to the Premier League.
"I want to play at Arsenal," Sow told Canal Football Club radio station. "I think my game is best suited to the Premier League.
"It is my dream and I want to be playing Champions League football.”
The Frenchman has not ruled out a transfer to Real Madrid, after the Spanish giants were reportedly keeping tabs on the player.
"Real Madrid? They are one of the best teams in the world,” he added. "We will see what can happen with these clubs before the transfer windows ends."
Sow racked up 25 goals for Lille in the French league last season.