The Arsenal forward has been linked with a move to the Italian champions recently.
“Of course you have to evaluate which teams show an interest in you,” he told Bild Sport.
“Teams come to see my performances in London. But I feel at ease at Arsenal and in this city.”
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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.