Bendtner is on loan at Sunderland with a return to Arsenal looking unlikely after failing to win over the fans in North London.
"There are a lot of very strong players going to Russia, players who previously wouldn't have done so. I'm on loan at the moment but I'll look at all my options when the time comes," Bendtner told Reuters in an interview on Tuesday.
"In football, you can never say never."
Struggling Arshavin recently re-joined Zenit St Petersburg on loan from Arsenal to try to find some form and is due to face Bendtner in a friendly at the Parken Stadium in Copenhagen on Wednesday.
Bendtner has been impressed with the standard in Russia.
"They play great football... they have a lot of good players, even if a lot of the ones that play in the [Russian] league aren't that well-known in Europe," he said.
Bendtner has scored three goals so far at Sunderland and is enjoying life under new manager Martin O'Neill.
"It's great, we have a new coach, we're winning and when you are winning everybody is interested in seeing you," he smiled.
It has not all been plain sailing in the north-east of England with Bendtner being charged with damaging cars in Newcastle city centre after a night out with team-mates in December.
Following the incident, Bendtner issued an apology to fans via a Danish newspaper in which he promised to "concentrate fully on football and only football" in the future.
Bendtner hopes that his image as a bad boy is changing, saying: "I think people probably realise that I'm a pretty nice guy."
Asked about Euro 2012 in June, when Denmark face Germany, Netherlands and Portugal, his confidence comes to the fore again.
"I always go into everything with the same attitude - to win. It doesn't matter what it is.
"First we need to try to concentrate on getting out of the group. After that, anything can happen," he said.
