The former Gunners attacker says he grew frustrated with the lack of first-team opportunities at the Emirates Stadium and does not envisage leaving Real Sociedad.
The Mexico international spent six years with Arsene Wenger's side but was shipped out on loan to four different clubs in that time and made just 28 appearances for the Gunners.
And, though the 24-year-old says he will always be grateful for the opportunity Arsenal gave him amid rumors of a return, he underlined his desire to remain in La Liga.
“Arsenal are a big team who gave me the opportunity to play in Europe,” the Mexican told EFE. “I will always remember that, but I didn’t have the opportunities that I felt I deserved.
"I am very happy here [at Real Sociedad] and would like to stay here.”
Vela has enjoyed an impressive first full season with La Real, grabbing 12 goals in 24 appearances.