Cheltsov also revealed that the Frenchman had a release clause of £61m in his contract with the Gunners.
"I offered Alexandre Lacazette to Zenit," Cheltsov told Sport Business Gazeta.
"Their sporting director Javier Ribalta said to me: 'Are you crazy? His release clause is €68m [£61m].
"I told him you can negotiate with Arsenal. I am sure they will be ready to accept something between €50m and €55m [£45m – £49.5m].
"His salary would be €7-8m [£6.3m – £7.2m] after tax."