The Gunners had identified Mykhaylo Mudryk as their top attacking target this month but the Blues hijacked the deal at the last minute.
Mikel Arteta 's side are now eyeing revenge for the setback and Standard Sport claim that they are prepared to beat Chelsea to Caicedo's services.
Chelsea have already made two bids for the Ecuadorian this winter, but Brighton are clear that he won't be leaving before the deadline.
The Seagulls are prepared to wait until the summer to sell him and this could play into the hands of Arsenal , who are ready to spend big.
The Gunners are set to make their long-awaited comeback to the Champions League. They are currently 14 points in front of fifth-place Spurs.
This could hand them a huge advantage over the Blues, who are languishing in the 10th spot in the league. They are 10 points behind the top four.