The Nigeria international is reportedly being trailed by a host of Premier League clubs, including the Foxes, but admits he has always been a fan of the Emirates Stadium outfit
The 23-year-old, who has a £22.8 million buyout clause in his contract, was the subject of a reported £18.7m bid from the Foxes as they looked to bolster their title hopes.
Claudio Ranieri's side were left frustrated in their attempts to sign the Nigeria star - who has scored 10 goals this season - but Musa, while confirming a bid, instead hinted at a move to the Gunners.
"What club? I do not care!" he told Championat when asked about interest from other clubs.
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"But Musa has to play, you know. I cannot sit on the bench. So I will have to go to the Premier League club that will believe in me.
"I would be happy if I was wanted by Arsenal. I have supported the team since the age of six. Nwankwo Kanu has been my idol since childhood. It will be fantastic to play for Arsenal.
"I will not hide it - Leicester actually came to our club. But I repeat that I want to finish the season with CSKA to help them to win a championship, and then think about changing team."
CSKA are level on points with FK Rostov at the top of Russian Premier League, yet have a game in hand, ahead of their meeting with derby rivals Spartak Moskow on Sunday.