Gustavo only joined Wolfsburg last summer after leaving Bayern Munich on a free transfer and has impressed during his time under Dieter Hecking.
The Brazil international was reportedly being watched by Barcelona earlier in the season, while the Gunners and arch rivals Tottenham are the latest teams to be linked with his signature.
But the 26-year-old claims he does not want to leave Wolfsburg after seeing the Bundesliga grow into the best league in world football.
“It’s always nice when the top clubs are interested in you. But right now I’m here and I’m very happy,” Gustavo told FIFA.com.
“The Bundesliga has become even better known in Brazil thanks to Bayern.
“Here every stadium is always full and the league is strong. I think she is the best league in the world.”