The highly-rated Nigerian international revealed that the Gunners have made a firm approach to the Belgian club and hinted that he is interested in the move.
"It's a good feeling for a club like Arsenal to make a bid for me, this is due to my hard work in training and games," Onyekuru told the Nigerian Football Federation.
"Thierry Henry has always been my idol since I was a kid. I was watching him play, watching Arsenal and going to YouTube to watch most of his games.
"I remember saying if I had to move to the Premier League I want to be like Thierry Henry, so it's likely to come true and I'm looking towards it at the moment."
Arsenal are said to have triggered a £6.8m buyout clause in the 19-year-old's contract.