The Fiorentina winger found the back of the net as La Viola sealed a 2-1 victory over Verona in Serie A on Sunday.
Cuadrado has scored two goals and made two assists in six top-flight appearances for the Florence outfit this season.
“I didn’t know about interest from Arsenal until you told me,” Cuadrado told Sky Sport Italia.
“It is something that pleases me, but I’m happy here at Fiorentina and we’ll see later.”
Cuadrado has scored seven goals in 42 Serie A appearances after moving to the club from Lecce in 2012.
Betfair are offering new customers enhanced odds of 6/1 on Chelsea or 10/1 on Man United to win Sunday's game. Click here to sign up now.
MORE: The latest football news