The 28-year-old can leave Wolfsburg on a free transfer when his contract expires next summer.
“I know there is interest from Premier League clubs,” he told the Brazilian media.
“I have heard one of them is Arsenal.”
Diego is keen to leave Wolfsburg and could decide to sign a pre-contract in January.
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Being an amiable guy is good for you and Jurgen Klopp is living proof.
Summer 2016 is set to be a very exciting time for football fans, as this is when the long awaited Euro 2016 tournament kicks off.