Sagna has emerged as the latest player to be linked with a move to the Spanish giants as part of president Florentino Perez's bid to build a world-class side.
On Monday, Sagna's Gunners team-mate Gael Clichy moved to dismiss suggestions he could be set for a switch to the Bernabeu.
However, Sagna, who signed a new long-term deal with the Emirates Stadium outfit last June, has failed to rule out moving to Real.
He told Aujourd'hui: "I am surprised and I don't know anything, but I am not against the idea.
"I was keen to resume with Arsenal, but we will see."