The Gunners were in talks with Real Madrid, and the player's father and agent held talks with the English outfit.
But Higuain says he never met with Arsenal and that he never had any doubts about joining Napoli.
Asked whether he was aware of Arsenal's attempts to sign him, he told The Times: "Yes, but I did not speak to them.
"They said Arsenal wanted to sign me, that they were there negotiating, but it was Napoli who bought me.
"They persuaded me with their conviction and I am very grateful to Napoli, to their president, too, for everything he has done for me, and for everything he did to buy me quickly. Knowing how much I was wanted gave me a lot of confidence.
"The manager [Rafa Benitez] spoke very well to me too. It is one of the reasons that convinced me to come. He is a sincere person, an honest person. The things he said have to remain between us, he made it a very easy decision."
He admits that Napoli has a special pull for Argentine players due to the fact it was where Diego Maradona grew into one of the greats of the game in the 1980s.
"There is a unique sentiment attached to Napoli for people in Argentina, the warmth of the people, the fact the city is a little crazy means there is a special bond. It is a very Argentine city that has helped me adapt to life here.
"And the stadium itself has a lot of history. It was where someone very special to all Neapolitans and to all Argentinians played. To play here in this mythical stadium, it makes me very happy. I love it."
Higuain has scored ten goals already for Napoli and his good form will be needed again as they will likely need to beat Arsenal by three goals to progress to the Champions League knock-out stages if, as expected, Borussia Dortmund beat Marseille.
"It would be an injustice for someone to go out on 12 points," said Higuain, which would likely be the case if they win.
"We have to make sure the team and the players and the fans are together. We showed against Dortmund [a 2-1 win] what we can do."