Bendtner, who is on currently on a season-long loan with Sunderland, will be out of contract at the end of the season.Arshavin re-joined Zenit St Petersburg on loan in February, after being blighted by poor form since a bright start to life in the Premier League.
"There are a lot of very strong players going to Russia, players who previously wouldn't have done so," he told Reuters.
"I'm on loan at the moment but I'll look at all my options when the time comes. In football, you can never say never."
Bendtner is set to go up against Arshavin when Denmark host Russia in Copenhagen on Wednesday.
And, although the Russian league does not boast as many household names as the Premier League, Bendtner has been impressed with the improving standard of players."They play great football ... they have a lot of good players, even if a lot of the ones that play in the [Russian] league aren't that well-known in Europe," he added.
Despite having just three goals to his name this campaign, the 24-year-old is enjoying his time at the Stadium of Light and has hailed the work of new manager Martin O'Neill.
"It's great, we have a new coach, we're winning and when you are winning everybody is interested in seeing you," he continued.
With Denmark in some of a 'Group of Death' for Euro 2012 - having being drawn against Germany, Netherlands and Portugal - Bendtner remains confident his side can progress.
"First we need to try to concentrate on getting out of the group. After that, anything can happen," Bendtner said.
"I always go into everything with the same attitude - to win. It doesn't matter what it is."