The move would be something of a shock if it materialised. Adding another front player would be a perplexing move to most fans.
Zarate has previous Premier League experience, having spent a loan spell at Birmingham City in 2008. The 24-year-old Argentinian is a tricky forward who can operate from a wide or a central position.
Arsene Wenger may be concerned about his attacking options with Nicklas Bendtner edging toward an exit from the club, and Carlos Vela embarking on another loan stint in Spain.
This leaves Gunners short of numbers at striker. Robin Van Persie is the unquestioned first choice. But the Dutchman is a huge injury risk.
In this context, Marouane Chamakh's poor form will be deeply troubling to Wenger. But Zarate commands a high price tag and is unlikely to want to go anywhere to be a backup.
Zarate has the flair to fit in well as a member of the Gunners' front three. But Arsenal are not currently short of options for these positions.
Arsene Wenger can call upon Theo Walcott, Gervinho and Andrey Arshavin to man the flanks. The Arsenal boss also has highly touted youngsters Ryo Miyaichi and Alex Oxlade-Chamberlain in reserve.
It's difficult to imagine who would make way in order to accommodate Zarate. One option could be to move either Arshavin or Oxlade-Chamberlain into the rotation for central midfield.
Both players have experience in this area and the squad is desperately thin at this position, due to defections, injuries and suspensions.
It remains to be seen if Arsenal's interest in Zarate is genuine. The public declarations from his agent may well be an attempt to generate interest in Zarate or to force the hand of another interested team.
A decent indication could come from Lazio's initial foray in the Europa League. The Rome based club are scheduled to begin their European endeavours this evening.
If Zarate plays he would then become ineligible to play for Arsenal in European competitions until the knockout stages of the Champions League.