The Brazilian has shared that former teammates, Willian and David Luiz have in the recent past tried convincing him into joining Arsenal.
Having paired with his fellow Brazilians during their time at Stamford Bridge scored 38 goals in 203 appearances.
Oscar is now triving in the Chinese league where he has so far scored 43 goals and provided a staggering 73 assists in 132 games.
“They called me, they had to call me, because we have good communication, Oscar told Fox Sports Brasil. “Sometimes I talk to them.
“They said ‘come to Arsenal, come here’. But for me it’s a little more difficult. I have a contract with Shanghai, it’s a little more difficult to leave.
“The most important thing is to be happy, regardless of the place. So I hope they are happy there.”
Although he still wants a return to the Premier League, the 29-year-old has disclosed its a return to Chelsea he would love more than heading to Emirates stadium.
“I really want to go back to Europe,” Oscar said. “Not now – at the moment I’m well here in China, I still have my contract here, which I hope to fulfill.
He added: “Of course the first club I’d choose if I could go back to Europe is Chelsea, for sure, which is the club that I built a very beautiful history with.
“And when I was a child I watched the Italian league a lot because there were many Brazilians there. So there are some teams from Italy that I like a lot, like Inter, Milan. So I’d think about going to the Italian league if I return one day.”