The Swiss star is being targeted by Mourinho as one of his first signings at Stadio Olimpico.
And the interest has flattered Xhaka, who also took time to praise the Portuguese coach.
"Of course I read [about the interest]. But now I'm one 100 per cent focused on the national team here," the 28-year-old told Blick as he prepares to compete at Euro 2020 with Switzerland.
"That's more important than Arsenal or rumours right now. I have another two years on my contract in London and Arsenal they know what they have in me. When the time comes to talk about a transfer, I'll be here."
He added: "To be honest, I didn't hear what Mourinho has said about me. But that makes you proud. Everyone knows Mourinho, knows what he has achieved. Mourinho knows how to win titles.
"You can now see what work I have done over the past few years."