The Foxes star, who played a key role in a shock title triumph for Claudio Ranieri's men in 2015/16, has scored three goals in ten appearances this season.
After showcasing his ability last term, he was subject to summer interest from the Gunners and looked likely to follow N'Golo Kante out of the King Power Stadium.
The 25-year-old admitted to Canal Football Club: "There was contact with Arsenal.
"But Leicester wanted to keep me and I was pretty expensive. I did not want to create a conflict when the offer came in.
"Personally, I think it is a good thing I stayed put.