The Costa Rica striker has joined Sporting on a season-long deal.
He told La Nacion: "I saw that I would not get many chances at Arsenal and therefore asked to be loaned.
"I could have chosen to stay and maintain a good salary, but I'd rather follow my dreams. I want to continue to develop my game and keep my love for the game.
"Sporting is a great club and I am happy with the decision I have taken."