The 19-year-old has been hailed as one of the most talented players in La Liga.
Reports have suggested that Vadillo is in advanced talks with Arsenal and will join the club in the January transfer window, but the youngster's agent insists there has been no contact with the Gunners.
Vadillo's agent, Jose Maria Sanchez de Puerta told International Business Times: "Arsenal have not contacted me. Of course he would like to play for Arsenal, who does not? But right now there is nothing. It is just a rumour."
"Vadillo is a player that is going to cost a lot of money in the future and these rumours are normal."
Vadillo was strongly linked with a move to Tottenham in the summer.
Sanchez de Puerta added: "Last summer Tottenham asked me about Vadillo's situation but they finally did not make an offer."