The Gunners star is bemused that the Spanish giants opted to sell the 24-year-old to North London on deadline day and is excited at the prospect of playing alongside the German.
Gunners boss Arsene Wenger broke the club's transfer record to bring the German to North London, adding to fellow summer arrivals Yaya Sanogo, Mathieu Flamini and Emiliano Viviano, with several Los Blancos players having also expressed surprise.
"I am very happy that Ozil is here. He is a spectacular player, and we are very lucky [that] we are going to learn alongside him," Cazorla told Marca. "I don't understand [why Real Madrid sold him], he is a unique player.
"You will have to ask the club for reasons why they sold them but, at the same time, he didn't think he was getting the opportunities he deserved and luckily he has come to us.
"He is an important player and he is going to be very good for the team and the way we play. I hope he can help us fight against the big teams in the Premier League."