The 23-year-old admits the lack of success at the Gunners is a major reason behind his decision.
"A footballer's career is over very quickly so it is time for me to move on. This has been the worst season of my life," Denilson told The Sun.
"I made up my mind eight months ago. But I haven't said anything because I did not want to disrupt the team during the season."
"I've been to see Arsene Wenger and told him how I felt and he agreed to let me go. I know some people will think I'm crazy. They are right. It is a great club, with a great organisation, a great manager and so many talented players. I need a fresh challenge and although I'm taking a big gamble, I'm ready to take that risk."
"I am a footballer and I want to play every week because I want the chance to play for Brazil. Look at Lucas (Leiva) at Liverpool. He's been playing regularly and he's in the Brazil team. That's where I want to be."
"I would love to be able to do that at Arsenal but based on how things have gone this season, I think it's time for a change. So I am flying home to Brazil on Sunday and I'm hoping I can make a fresh start in Spain or maybe Italy."
Denilson arrived at Arsenal in 2006 from Sao Paulo but failed to win a trophy with the club, who lost the Carling Cup final to Birmingham before falling to finalists Barcelona in the quarter-finals of the Champions League this year.
"I am so upset. I am a winner and I came here to win trophies but I've been here for five years and won nothing," he said.
"There's something missing at Arsenal but no-one knows what it is. Not the manager, not the players - nobody. Manchester United, Manchester City, Chelsea, Liverpool spend millions and millions on players."
"But we are still the best footballing side in Britain, we play beautiful football. Only Barcelona do it better. But we don't win trophies. That's so frustrating, you can't imagine how frustrating. Some people say we don't succeed because we are too young and naive - but that's no excuse."
"That (losing the Carling Cup final) was the moment our season was ruined, it started a domino effect and no-one could stop it. I knew it was a massive moment, the point where it all started to go badly wrong and I think we all knew. I went home afterwards and just cried. I was very upset, very sad and I was ashamed."
