The 23-year-old, who is under contract with the Ligue 1 club until 2012, scored 14 goals in 33 starts last term.
"I love the atmosphere and stadiums too," Remy said in L'Equipe.
"I've always loved watching the English league and I particularly like Arsenal. But for that, I still need to progress."
West Ham are also thought to be interested in Remy and have reportedly made a bid.
"There are proposals, we'll see what happens," added Remy.