The Sun says the Gunners have been linked with the Argentina international, 25, who is also a target for Juventus.
Higuain played in Madrid’s final-day win over Osasuna yesterday — Jose Mourinho’s last game as boss.
And the striker said: “I am leaving Real Madrid, the decision has been made, I feel the time is right and I want a change of scenery.
“I have not decided where I will go, but the club already know that I want to go. It was my decision."