He has La Liga for the past 8 years, he might want to experience something else and is reportedly on 65k pw. Nobody but him can say which is better, he has to give it a try.But he already has:
La Liga, Madrid, Money, Champions League, a chance at silverware.
If he were to trade those in for something else then Arsenal would be a step backwards in my opinion. It's definitely something different, but not better.