The 24-year-old Mexican joined Sociedad this summer for 4 million pounds from Arsenal after a successful spell on loan, one of several loan spells the Gunners sent him on after his 2006 move as he struggled to live up to his considerable hype.
Vela, who has scored 12 times to help his side to seventh in the league, has a buy-back clause in his contract meaning Arsenal can take him back to the Emirates, but says that he will stay at the Anoeta Stadium if the club wants him.
Speaking to Marca, he said: “I know that Arsenal can pay 4 million euros to sign me, but if Real [Sociedad] and I are good together, we can work something out.
"We will have to arrange something so I can stay here. I believe that we can do something so we can continue together."
Vela went on to reveal his affection for another Spanish club, citing admiration for its star player.
He added: “To be honest I'm a fan of Real Madrid. It's the team that I like.
“All the awards were for [Lionel] Messi, but I like Cristiano's [Ronaldo] style of play more and I would choose him.
“The Champions League? I want Real Madrid to win it.
“I get bored watching a football game on TV. In the Champions League I only watch Real Madrid.”