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The 23-year-old has impressed for the Ligue 1 side since making the switch from Angers in 2017 with his performances attracting the interest of a number of major European clubs.
One of those is reportedly the Gunners, with boss Unai Emery looking to bolster his ranks at the Emirates.
The north London side are said to have been scouting the Ivory Coast international with the view to making a January bid.
Borussia Dortmund, Bayern Munich, Everton, Barcelona and Sevilla have also been linked to the attacker who’s scored eight times in 13 matches this term.
But when asked about the speculation surrounding his future, Pepe said: “My preference [would be] between Borussia Dortmund, Bayern Munich or Arsenal.
“They’re all big clubs, I was not aware of these rumours, although it’s nice.”
If any of the wide man’s admirers are to secure his services, it’s thought that they’ll have to pay in the region if £30million.