The Gunners are said to be interested in the 25-year-old forward, who has netted nine goals this season in the German top flight, with manager Arsene Wenger keen to strengthen his attacking options.
Domestic rivals Borussia Dortmund and Wolfsburg as well as Italian giants Lazio have all been linked with Szalai, after being impressed with his recent performances.
Mainz insisted earlier this month that no bids have been made, but it is speculated that they will accept an offer of around £12.5m for the player, who is under contract until 2015.
Despite the speculation, Szalai believes that he will not be moving on this month, citing his price tag as a potential stumbling block:
“There hasn’t been any connection made with the clubs who have been reported in the press, so I don’t have to think about being an Arsenal striker.” He is quoted by Sky Sports.
“It’s improbable that I’ll go anywhere in the winter transfer window and that 15million euros will be paid for me.”
The Hungarian international, who has 14 caps, was on the books at Real Madrid before joining Mainz in 2010, initially on loan.
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