Denilson joined Arsenal in the summer of 2006 from Sao Paulo and has grown tired of the club's lack of success. The Gunners have not won a trophy since the FA Cup in 2005.
"This has been the worst season of my life, and I am so upset," the 23-year-old said in The Sun.
"I am a winner and I came here to win trophies but I've been here for five years and won nothing. Until Arsenal stop throwing away silly points in stupid games nothing will change.
"I've simply been to see Arsene Wenger and told him how I felt and he's agreed to let me go.
"A footballer's career is over very quickly so it is time for me to move on. I made up my mind eight months ago. I was fed up of coming home and feeling down.
"I know some people think I'm crazy. I need a fresh challenge and although I know I'm taking a big gamble I am ready to take that risk.
"I can't see myself returning in a Chelsea shirt, or Liverpool or Manchester City - and definitely not Tottenham. I think my future will be in Spain or Italy."