"Wenger said he thought of signing me? That's an honour for me, an honour," he told The Sun. "Because he is a very great coach and I know that every single player in the world dreams of playing for him.
"I have a lot of respect for him, he is one of the best coaches in the world so why not?
"They are achieving huge things at Arsenal and watching them play is just beautiful."
With just 12 starts to his name in the Premier League this campaign Kalou is aware of the challenge that he faces if he is to hold on to his first team place until the end of the season.
"You are never guaranteed to be in the Chelsea starting XI," he added.
"Every single player fights to earn his place, including me, and the coach is the one that has the final word.
"At the present I'm happy at Chelsea and I hope that the things that I want to happen will happen.
"I will think of my future once the season is over."