The Greece international has scored 14 goals in 14 games for Olympiakos so far this season.
Arsenal boss Arsene Wenger is keen to strengthen his attack and will be given cash to spend in January.
The Daily Star reports that the 25-year-old would cost any interested club at least £7million.
Reports suggest Liverpool and Dortmund are also keeping an eye on the striker.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.