Reports have suggested that Cavanda is among a number of potential defensive recruits Gunners boss Arsene Wenger has his eye on heading into the summer.
The 22-year-old right-back is likely to be available at the end of the season after becoming locked in a contract dispute with Lazio.
He is tied to the Italian club until 2014, but no extension talks have been held.
Arsenal may be able to make that situation work to their advantage when the transfer window re-opens, with Cavanda's representative admitting that he is keeping all options open.
"Pedro is currently out of the team, so it is natural that we are looking around," Ulisse Savini told calciomercato.it.
"It will not be easy to find a solution that makes Lazio happy, but we will try.
"Arsenal's interest? I don't know about it, but if there is interest then we would be flattered."