The Belgium striker, 21, has been a hit at Villa since joining for £7million from Genk.
But he said: “Arsenal are the club I love. I like their philosophy of selecting young players and, besides, they had Thierry Henry.
“For me he is the best player in the world and was my boyhood idol.
“I’m not afraid of making enemies at Villa by saying I love Arsenal.
“One can say worse things. I’m a Villa player for now. They’re the right club at the right time.”
He added: “When I joined Villa I didn’t know where they played. I thought they were a London club!”