Rodallega has a year left on his contract at Wigan, but the club reportedly wants around £12million for the striker.
The 25-year-old insisted: “Arsenal are interested in me and this is a club I have always liked.
“There are many teams interested, it’s true. Villarreal, Sevilla, Arsenal also have some interest, Everton, too.
“There is a lot of speculation but my future at this moment is at Wigan.
“I have signed for one more year in Wigan, but if the club decides on my sale that is no problem if the subject is positive for all parties.”