The Nigeria international, who was the subject of a £19million bid from the Foxes in January, claims that he wants to emulate Gunners legend Nwankwo Kanu in North London.
"I have supported the team since the age of six. Nwankwo Kanu has been my idol since childhood. It will be fantastic to play for Arsenal.
"I will not hide it – Leicester actually came to our club. But I repeat that I want to finish the season with CSKA to help them to win a championship, and then think about changing team."