The Mexico international has rebuilt his career in San Sebastian and been linked with a return to former club Arsenal for next season.
Asked about the prospect, however, Vela insisted: "Go back to Arsenal? No, thank you.
"It's a great club that has given me the opportunity to play in Europe. I'll always remember them, but I do not think I have had the opportunities that I deserved there.
"I'm very happy here and I want to stay."
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