The 23-year-old has been linked with a move to the Emirates Stadium as Arsene Wenger is reportedly an admirer of the Italy international, who is currently at the FIFA World Cup.
Mino Raiola, Balotelli's representative, has fuelled speculation surrounding his future by being coy over rumours of interest from Arsenal.
Raiola told Sky Sports: "Arsenal are a fantastic club. Will a transfer happen? Anything is possible."
Balotelli left Manchester City for Milan in January 2013 for a fee believed to be €20 million plus add-ons.
He scored 18 goals last term in all competitions for Milan and also netted the winner in Italy's 2-1 victory over England in their opening World Cup game on Saturday.
Arsenal's dependence on striker Olivier Giroud was highly publicised in 2013-14 and Wenger will be looking to strengthen his attacking options in the close-season.
