Lacazette became Arsenal's most expensive signing in a deal with Lyon reportedly worth £52.7 million in July.
The 26-year-old France international, who has scored four goals in seven Premier League appearances, said he could have remained in his homeland with PSG.
"We talked to PSG but I knew it was not where I wanted to go. In France, I would only play for Lyon," Lacazette told RMC Sport.
"PSG could have helped me progress because of the big players they have but I wanted to play in another league."
It has been a difficult start to the season for Arsenal, though Arsene Wenger's men are seven matches unbeaten in all competitions since their 4-0 rout at Liverpool.
"I believe in the title, whether in the Premier League or in the Europa League," Lacazette added.
"We have a big group, everyone gets along, it's not always the best that wins."