The Brazilian goalkeeper arrived in the Premier League over the summer in a surprise switch from Inter Milan.
However the 33-year-old revealed that Gunners boss Arsene Wenger had made contact with his representatives, prior to agreeing a move to Loftus Road.
"I accepted this proposal because I wanted to live in London," he told the Sunday People. "I have an amazing way of life here and I'm giving my family a great opportunity to grow up culturally.
"I talked with Arsenal in the last transfer window, and they were really happy about me playing for them, but at the last minute I moved to QPR.
"QPR has a project, and I dream about that project coming true. But I came here because I was thinking about my future once I quit football, that's true."
QPR are currently rock-bottom of the Premier League table, without a win in their first 11 games in 2012/13. But, Cesar is confident that Mark Hughes' side have what it takes to avoid relegation this campaign.
Meanwhile, Arsenal are at risk of losing their stranglehold on that all-important top four spot, with Champions League qualification of utmost importance to Wenger and co.
The north Londoners currently lie eighth in the table with 16 points, following yesterday's agonising 3-3 draw with Fulham at the Emirates Stadium.
Olivier Giroud scored twice, either side of a Lukas Podolski goal, while Mikel Arteta missed a stoppage time penalty to deny the Gunners all three points.