Wenger revealed at the end of last summer that he was interested in signing the African striker.
“Arsene Wenger said he thought of signing me? That’s an honour for me, an honour,” Kalou revealed to Setanta Sports.
“Because he is a very great coach and I know that every single player in the world dreams of playing for Arsene Wenger.
“I have a lot of respect for him, he is one of the best coaches in the world so why not?” he said with a massive smile on his face.
“I am still under contract with Chelsea, but of course I have plenty of friends who play for Arsenal: Kolo Toure, Emmanuel Eboue and Emmanuel Adebayor.
“They are achieving huge things at Arsenal and watching them play is just beautiful.”
He added: “You are never guaranteed to be in the Chelsea starting XI because every single player fights to earn his place, including me, and the coach is the one that has the final word.
“At the present time I’m happy at Chelsea and I hope that the things that I want to happen will happen. I will think of my future once the season is over.”