The Italian international has been repeatedly linked with a switch to the Emirates this summer, as manager Arsene Wenger looks to bring in striking reinforcements.
A recent report by The Mirror claimed that Arsenal were lining up a £25 million bid for Balotelli this summer.
Balotelli would be a heavyweight name akin to the club-record deal for Mesut Ozil last summer, and with Arsenal in need of forwards to support Olivier Giroud, the Rossoneri star could be viable option.
"Arsenal are a fantastic club," he said. "Only eight or 10 clubs in the world can afford Mario Balotelli - like all premium players, and he is one of the greatest.
"[Will the move happen?] Anything is possible."
The Gunners failed with a bid for Liverpool forward Luis Suarez last summer, but Wenger has vowed to splash the cash as he tries to turn his side into serious contenders for the Premier League title next term.
Wenger is in the market for a right-back following Bacary Sagna's departure, while Nicklas Bendtner's exit and Yaya Sanogo's inexperience have made the signature of a high-profile striker a pressing concern for the North Londoners.
Balotelli is said to be unhappy with life in his homeland having made the switch to the San Siro from Manchester City in January 2013.