Mata's father has revealed the Spanish side simply declined the north Londoner's offer, but has revealed that the 23-year-old midfielder remains hopeful he will be on his way this summer.
However, Mata's destination is far from sealed yet. Italian giants Inter Milan are also expected to make a counter-offer.
Golden boy: Mata is being chased by a number of Europe's elite
'Valencia simply rejected their offer. After some hesitation they answered "no" to the Gunners' offer.
'So my son remains a Valencia player, for now. But I don't think it's their last offer,' said Mata's father, Juan Manuel Mata Rodriguez.
'There are several offers for Mata and I think that Arsenal will come forward again. The situation is still evolving.
'Are Inter Milan one of the interested teams? I know my son holds Milan in high esteem. We'll see if Inter will come forward directly.'
Come and get me: Mata's father has revealed his son is hopeful Arsenal or Inter will make an offer for him
Arsenal's north London rivals Tottenham are also keen on bringing Mata to the Barclays premier League.
Spurs boss Harry Redknapp has made no secret of the fact he wants to bring the Spain international to White Hart Lane, but has conceded the deal is out of his hands.
Redknapp said: 'Mata is one we have looked at but there are other clubs, including, Arsenal who also like him. I saw him play for Spain Under 21s against England and he was fantastic. But the chairman is dealing with it.'
Optimistic: Redknapp has stated his desire to sign Mata, but Spurs are down the pecking order
CLICK HERE TO SIGN UP FOR OUR FREE FANTASY FOOTBALL GAMEIt's Mata of fact for Harry! Spurs boss confirms interest in Valencia midfielderTottenham concede they will sell Modric if Chelsea can tempt them with a big enough offerAll the latest Arsenal news, features and opinionAll the latest Tottenham news, features and opinion