The Argentinian has netted 15 times in 50 league appearances for the Eternal City outfit since arriving from Qatari club Al-Sadd.
He joined Birmingham City on loan in January 2008 and had an immediate impact at St Andrews, scoring twice in the club’s 3-1 win over Manchester City before eventually returning to the Middle East following the Blues' relegation.
The 22-year-old has yet to make his debut for Argentina, although he is still believed to be harbouring hopes of securing a place on the plane to South Africa this summer with Italy should Diego Maradona overlook him.
And, according to reports, Zarate is set to enhance his chances of playing at the global extravanganza by joining either the Gunners or Roberto Mancini's Blues before the end of the month.
Arsenal boss Arsene Wenger has admitted he is keen to recruit a new forward in January to account for the losses of Robin van Persie and Nicklas Bendtner through injury.
However, despite Zarate's agent revealing that the Gunners had been in contact regarding a move for the forward, the player himself has insisted that he knows nothing about a move and is solely focussed on addressing Lazio's indifferent form.
"I will never leave Lazio," he said.
"I am telling the truth. I have not read anything. If I had, I would have replied.
"Avoiding relegation and doing well in the Coppa [Italia] are our priorities.
"It is a bad period for us and we clearly have to improve. Winning the Coppa Italia would be great though."
NEWS: Agent - Arsenal in contact about Zarate
