As revealed by Goal, the Frenchman had already told the club on May 12 that he would exit the Emirates Stadium and he has since opened formal talks with Manchester City.
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"It's no longer a secret, I will leave Arsenal for sure," Sagna told L'Equipe.
"They tried to make an effort but the discussions have not gone in the direction I wished it.
"There are a lot of calls, a lot of speculation. Frankly, it gives headaches. I'll sort it all out before the start of the World Cup."
The full-back was officially approached by City the day after he helped Arsenal end their nine-year trophy drought by winning the FA Cup final.
Sagna spent seven years in north London, having joined from Auxerre in 2007.