Gunners boss Arsene Wenger admitted his admiration for the Uruguay international last week.
"Arsenal? I did not follow anything personally, I've only discovered it now," said Cavani. "Now I'm in Naples with my teammates to give a dream to the people."
He continued: "My future? I have four years on my contract, but in football you never know where you'll end up and what to expect. But I think only of the present and work to get better."
"These are teams that light the imagination. But now I'm living this point of my career, I am fighting for the top spot against one of the powers of football in Juventus."