Diego's contract reportedly expires next summer, leading to speculation that a move away from the Volkswagen Arena could be in the offing.
The Brazilian, who has two Bundesliga assists to his name this season, would be open to a switch to the Gunners, and would also consider Southampton.
Diego, 28, told SunSport: “I know there is interest from Premier League clubs. I have heard Arsenal is one of them.
“It would be the ideal destination for me because their style suits my characteristics perfectly. Of course I would say ‘yes’ to Arsenal.“Southampton have great organisation and discipline and big talents like Adam Lallana. But again there is nothing concrete.
“Playing in England is a very attractive option at the peak of my career but I’m focusing on helping Wolfsburg get to the Champions League.”
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