Arsenal burned off competition from AC Milan to sign Dani Ceballos this past summer.
The Gunners landed Ceballos in August on-loan from Real Madrid - without the option to buy.
Calciomercato.com says Milan were in talks with the midfielder before the Gunners stepped in.
It's claimed Ceballos welcomed Milan's approach and was excited about the move.
However, the Italian club could not match Arsenal's offer, which offered a fee for a straight loan arrangement.