Have fun in that team
Payet threw himself on the global football stage with his excellent performances for the Hammers and France last season and in the Summer's Euro 2016 tournament.
However, despite putting in some good performances, Slaven Bilic's side have failed to match the Frenchman with the Hammers down near the bottom of the Premier League pyramid.
Payet recently played in the 5-1 defeat to Wenger's side, who had previously stated that he turned down an offer for the Frenchman and Payet admitted that would be fun to play for the Gunners.
"I read that Wenger considers me the missing piece of the Arsenal's game," Payet told RMC. "But he's never told me that!"
"We conceded five or six at home against them," he stated. "When you see them playing, as a technical player, you could only have fun in that team."
Payet added: "They're candidates for the title every year."
Situation doesn't suit me
It isn't the first time that rumours of January exit for Payet have surfaced, with the forward stating earlier in the season that he would be open to a move away from East London. Payet stated that he vows to help the Hammers fight relegation but admitted that he wont shut the door on an exit.
"The situation at the club affects me but I'm an ambitious person," he said. "I'm in a fight with my club."
"I'm giving everything for them to get out of this difficult situation," the Frenchman stated. "But I'm not closing the door to anything."
"I miss the Champions League... I've got some great years ahead of me," the forward added. "I want to enjoy them by playing in important competitions."
"If I'm forced to leave West Ham," the 29-year-old admitted. "It will be done according to the rules - the club will have its share of the cake."
"My coach understands that today's situation does not suit me," Payet concluded. "I will ask the questions at the right time."
West Ham United will take on Swansea City at the Liberty Stadium on Monday, December 26 with kick-off at 3pm GMT.