The France right-back, who has just made his return to first-team action following a lengthy injury lay-off with a broken leg, has been the subject of reports claiming the Serie A side are ready to make a move for the 29-year-old.
Sagna has 18 months left to run on his Gunners deal and recently questioned Arsenal’s transfer policy.
But the defender appears happy to stay in north London, insisting his time at the Emirates has been “magical”.
“It has been magic. I’ve enjoyed a lot playing for Arsenal and I still love it,” Sagna, who has made 207 appearances for the Gunners, told Arsenal Player.
“Every time I go to the pitch, I just give 100 per cent for the team.
“[The club] is like my family. My personal family is in France but I feel at home here, I feel happy to come training and I feel relaxed. There are not many big clubs where you feel that confident.
“I think I have progressed a lot – that was my target, to come to such a big club and improve.
“I am very calm compared to when I came, I used to be a bit stressed before games but now I am totally relaxed because of my team-mates and the manager.”
Sagna’s comments come after Gunners boss Arsène Wenger insisted that he is confident the defender will stay at the club.
“It [a new contract for Sagna] will be discussed,” said Wenger in September. “I expect him to stay and I want him to stay.”