The former Under-21 captain has never received a full international cap, despite regularly impressing in the Premier League for Everton and since earning a move to north London last summer.
And, with Arteta taking on the role of interviewer for Spanish publication AS, Cazorla expressed his bewilderment at Vicente del Bosque's failure to recognise his midfield colleague.
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"How strange that you’ve not yet had a chance. There are many players in that position, but I do wonder.
"Hopefully one day we’ll enjoy it together."
The former Villarreal attacker went on to hail the 30-year-old's leadership qualities, revealing that most of the Arsenal squad consider him as the captain ahead of Thomas Vermaelen.
"Here at Arsenal you’re a real leader. When I arrived, I was a little surprised at the level of respect that you have in the dressing-room," he added.
"But when I saw you with the group and on the pitch it’s obvious that almost all consider you the Captain. You are a leader. I’m no good at that, nobody would listen to me! But when you talk they listen."
Cazorla also expressed his eagerness to learn English and prove himself as a success in the Premier League.
"I have to learn English, this is a very good opportunity, Mikel. Everywhere you go you need a good English," he continued.
"And I’m getting very serious about the issue. So I’m enjoying it. You know what I thought after the first few games?
"Watching English football on TV is one thing but playing is another, there is a tremendous difference. I love this league, it’s spectacular but coming from Spain to the Premier is a huge leap."