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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Liverpool have unveiled their new home kit for next season, sticking with the hugely popular retro styling of the current shirt.
The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.