Newcastle had been wanting to sign the 28-year-old forward, and offer him another chance to impress in English football.
However, a return to Depor was more appealing to Perez, who is now set to return to his homeland.
Perez will join Depor on loan until the end of the season, when they will be obligated to pay £10 million for the striker.
Newcastle, meanwhile, will have to look elsewhere - after missing out on another one of Rafael Benitez’s targets.
Newcastle have softened the blow of failing to sign Perez, by snapping up Joselu from Stoke City recently, but Benitez is known to want another forward before the end of the transfer window.
Perez barely made an impact in the Premier League during his one season at Arsenal, where he scored just one goal in 11 appearances.