Shevchenko's disastrous spell in English football has convinced Kaka to concentrate on his career with Milan.
Kaka said: "I've seen players like Shevchenko who leave Milan and then regret it. Sheva told me to consider my choices very carefully because this club is so special.
"It will be a special game against Arsenal. I can already picture a packed-out San Siro, like it was against Celtic last season. Arsenal are a very strong team but, in the crucial moments, Milan never betray their fans."
Kaka also called for protection from referees.
The Brazilian, reflecting on Arsenal striker Eduardo da Silva's horror leg-break injury, said: "We need to change this situation where talented players are getting kicked all the time. I am tired of being booted in Italy, for example.
"It's up to the referees to protect players who want to play football and I hope this happens sooner rather than later now we've seen a terrible injury like this [Eduardo's leg break].
"I was saddened by what happened to Eduardo and I wish him the quickest possible recovery."