Cavanda is expected to be sold in the summer with his current deal having less than 18 months to run.
"Pedro is currently out of the team, so it is natural that we are looking around," agent Ulisse Savini told calciomercato.it .
"It will not be easy to find a solution that makes Lazio happy, but we will try.
"Arsenal's interest? I don't know about it, but if there is interest then we would be flattered."