The 21-year-old, who shares dual nationality with England and Germany, has made 36 league appearances since make his debut in 2009, netting five times.
Holtby has been linked with a move to the Gunners in the past, and the remarks claiming the North London side and the Toffees are his two preferred clubs will only heighten speculation.
"I have always said that my aim is to come to the Premier League one day because I love the league," Holtby told talkSPORT.
"My father is English and of course my favourite teams are Everton and Arsenal.
"It would be a massive move [to Arsenal] because Arsenal players were always my favourite. They play nice one-touch football, they're offensive, and have young players, a great stadium and a great city so it is a nice club.
"My thoughts now are first with Schalke but you never know."
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