Mosquera left Valencia for Arsenal last year.
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Ahead of their Champions League semifinal first-leg against Atletico this week, Mosquera made the admission.
He told AS: "It's true that something rang.
"My agent is the one in charge of all issues related to my future, until there is something very specific I ask him not to tell me anything, so he is the one who handles it.
"But it is true that there was some contact with Atlético."