The midfielder expressed his regret that a move to the Gunners did not materialise, although he now says it is his "destiny" to stay at PSG
The France international left Newcastle United for Laurent Blanc's side in January but had been linked with a move to Arsene Wenger's men for some time.
And the 28-year-old has revealed that he would have liked to join the Gunners last summer.
"I would have liked to play for Wenger last summer but, unfortunately, it didn't happen," he told Telefoot.
Cabaye also admitted that he almost moved to les Parisiens before he went to the Premier League in 2011.
"I was approached by PSG but it didn't happen, then I went to England," he added.
Now, though, the Frenchman insists he is happy at Parc des Princes, with it being his "destiny" to help the side go as far as they can both domestically and in Europe.
"PSG are prepared to win everything," he added. "The players share a mentality making them wanting to go as far as possible.
"If we have the possibility to snatch the Champions League, we will do it. Zlatan Ibrahimovic is doing extraordinary things and Thiago Silva is a monster at the back. It's a new challenge. I want to stay here and to win. It is my destiny."
PSG are eight points clear at the top of Ligue 1 and also reached the Champions League quarter-finals after knocking Bayer Leverkusen out over two legs.