The 30-year-old was linked with a move back to Spain during summer with Atletico Madrid particularly interested, but Cazorla insists those reports were fabricated by the media.
"I never said I wanted to return to Spain," Cazorla said.
"Those things just came from the press. I don't understand why they publish that story because I have always been happy at the club.
"I feel very valued here and the club value me even more with a new contract. I never considered leaving Arsenal."