The midfielder refused to say when he might move back to Spain, while revealing his delight that former team-mate David Villa got the transfer he wanted
The 28-year-old, who joined the Gunners from Malaga a year ago, was reported to be subject to heavy interest from los Rojiblancos this month, but he was keen to play down the transfer speculation.
"Much has been made the subject of Atletico Madrid, but I am very good in London," Cazorla told gathered media at a campus in Oviedo. "I have a contract with Arsenal and I start training on Monday.
"We'll see when I come back to La Liga - it is very difficult right now."
Cazorla did, however, express his delight that Spain international team-mate and new Atletico Madrid striker David Villa secured the transfer from Barcelona that he craved this summer.
"I'm very happy for him because he's had a difficult year at Barcelona with the injury, and now he can enjoy football again."