Gustavo said he needed to quit the Champions League winner to further his career, as first team football won't be guaranteed under new boss Pep Guardiola.
The Gunners have been linked with a £17m bid for the midfielder but are facing competition from Bundesliga side Wolfsburg who are also looking to strengthen before the start of the season.
Speaking before Brazil's friendly in Switzerland, Gustavo made it clear how much he'd like to player under Arsene Wenger this term.
He said: "My contract with Bayern runs until 2015, but it is very important that I play first-team football to keep getting called up for the national team.
"I have personal and professional reasons to move. I have heard about the Arsenal interest.
"It's a big club we're talking about here, so of course I'd like to play for them."
But the north London club will have to move quick as Napoli have reportedly joined the race for the Brazilian star's signature.