The Spaniard spent six years at Arsenal before leaving for Villarreal last year at the expiration of his contract.
Cazorla told The Independent's Tom Kershaw:
"When you are at a big club like Arsenal, sometimes you don't realise what it means to be there until you are gone. I never got to say a proper goodbye.
"It was the biggest team I played for in my career, and I miss everything about Arsenal.
"I don't know what my legacy is there, you would have to ask the fans, but I want to say thank you to them all. I would like to play at the Emirates one last time before I retire."
The 34-year-old, who said his son "loved" living in London, added that he does not have definitive plans yet post-retirement—though he could go into coaching or become a sporting director—but he wants to return to the Gunners in some capacity.
The affable playmaker joined Arsenal from Malaga in 2012.
He quickly became a firm favourite among the Emirates Stadium faithful thanks to his graceful play, boundless creativity and for moments such as this:
Injuries curtailed his career in north London, though. Cazorla required eight surgeries on his ankle and almost lost his foot after an infection turned gangrenous, and he had to have skin from his arm grafted onto his heel.
He played just 31 times across the 2015-16 and 2016-17 seasons, and did not make it onto the pitch at all in the final year of his deal.
Cazorla has remarkably resurrected his playing career at former club Villarreal, though. He made 46 appearances in all competitions for the side last year, contributing seven goals and 11 assists.
His form earned him his first Spain cap in four years, and he has continued to impress this season with five goals and four assists.
He scored an incredible goal against Barcelona at the Camp Nou in September:
Football writer Lee Roden hailed his performances this season:
Unless Villarreal face Arsenal in European competition in the coming years, Cazorla playing competitively at the Emirates Stadium again seems unlikely.
In whatever capacity Cazorla is able to come back, though, whether it be in a friendly, a testimonial or as member of staff, no one would begrudge him a romantic return.