Gabriel Paulista perhaps didn't mean for his remarks to cause a stir, and he may not have meant it to sound the way it did, but some in Vila-real are disappointed--if not worried--that we might lose him to Arsenal this month.
English rumor mills have been claiming for some time Arsenal is interested in Gabriel or another central defender. Maybe so, though I'd think they might want someone with more experience? Gabriel has a great upside, but he is still learning.
It's worth looking at what Gabriel actually said, which came in response to a question about his future: "I am calm in regards to my future. My head is in Vila-real, but my agent is working. If I go to Arsenal, or if I stay, I'll have a calm head either way".
It is hard to deny that a player might want to move to the Premier League, with higher salaries, to a league and/or club with a higher global profile. But I suppose it shouldn't be surprising to hear that his agent is working, which is what Gabriel said. That's presumably what Gabriel pays him to do. And if that agent's work results in an offer to Villarreal from Arsenal or some other club, then it's up to the club to decide how to respond.
It is of course in their clients' best interest for agents to drum up potential--or at least alleged--interest from other clubs. That might lead to a salary boost or new contract to head off the other suitor.
I don't actually think Gabriel could say anything else than what he did. Say "I am happy in Vila-real and have told my agent I'm not interested in moving?" Unfortunately, in modern football that is seldom, if ever, heard. So until we have concrete evidence of Arsenal's interest, let's leave it at that.