The Gunners were thought to be interested in the Frenchman but his decision to remain with Los Blancos is no surprise.
"There was nothing in the talk of a transfer away from Madrid," he told Telefoot. "I'm happy at my current club, it's the best in the world. I'll continue to work here and be happy where I am."
Arsenal were reportedly interested in the Real Madrid frontman and some reports – by the likes of the Daily Star – claimed a switch to the Emirates was on the cards.
The Frenchman’s latest comments have put an end to that notion once and for all and serve as a further reminder of the gulf in prestige between the world’s top three clubs and the Premier League’s big-hitters.
Recent years have seen world class talent – in the shape of Cristiano Ronaldo, Gareth Bale and Luis Suarez – leave England for the perceived step up of Madrid and Barcelona.
Bayern Munich fall into that category too and the change of power in the European game is reflected in the failings of English teams in European competitions recently.
2004 to 2009 saw a Premier League representative in the Champions League final every year, but Chelsea’s triumph over Bayern Munich in the 2011-12 season was the last final feature for an English club in Europe’s premier competition.
As things stand, a Premier League team challenging for the Champions League looks a long way off and Karim Benzema’s lack of interest in a move to Arsenal should be no surprise to anyone.
The Gunners have failed to seriously challenge for the Premier League title since their last victory in 2004 and have clinched just two FA Cups since then.
While a signing of the calibre of Benzema would undoubtedly improve Arsenal's chances of ending their barren run, it makes absolutely no sense on his part.