The France international full-back ends a seven-year association with the Gunners as he opts not to extend his contract past this summer, with Manchester City set to swoop for him
As revealed by Goal, the Frenchman had already told the club on May 12 that he would exit the Emirates Stadium and he has since opened formal talks with Manchester City.
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"It's no longer a secret, I will leave Arsenal for sure," Sagna told L'Equipe.
"They tried to make an effort but the discussions have not gone in the direction I wished it.
"There are a lot of calls, a lot of speculation. Frankly, it gives headaches. I'll sort it all out before the start of the World Cup."
The full-back was officially approached by City the day after he helped Arsenal end their nine-year trophy drought by winning the FA Cup final.
Sagna spent seven years in north London, having joined from Auxerre in 2007.