The 21-year-old Argentine has been heavily linked with a move to the Premier League in recent days, with Arsenal, Manchester United and Liverpool all showing an interest.
And it looks like Dybala - who has been described as the 'next Sergio Aguero' - favours a move to the Emirates over their rivals.
The striker said: "To know that someone like that thinks highly of me fills me with pride.
"I can't deny that going to Arsenal would be great, but at the moment I'm a Palermo player."
Morgan Schneiderlin player profile
The Gunners are reportedly readying a £15m move for Southampton ace Morgan Schneiderlin in January.
The French midfielder has also attracted the likes of Liverpool, Tottenham and Manchester United, but Saints are hoping to keep hold of him.
Playmaker Santi Cazorla is planning on leaving Arsenal next summer due to lack of silverware under Arsene Wenger.
According to reports in Spain, the 29-year-old could join La Liga champions Atletico Madrid, a year before his current deal expires.