The Dutch centre-forward has been linked with the Gunners this week.
"Wouldn't it be nice, wouldn't it?" he laughed, speaking with Bureau Sport. "It would be something.
"(But) I will give a very boring answer that everyone gives: you don't have to be with me for that. I would say call them up and make them nice and warm. Then it's all right."
Laughing, Weghorst added that his girlfriend is not yet looking for an apartment in London.