Together, the pair won the Europa League.
Of the link to Banega, former Sevilla boss Emery added: "I know this player and he's a very good player".
Still, the deal does not remain straightforward for the Gunners, given they are unlikely to be able to discuss a permanent move for the attacker in the current transfer window.
Arsenal have already been tipped to pursue the services of Denis Suarez from Barcelona but they are experiencing a similar predicament with the Spanish club wanting a straight-cash deal for the Spaniard.
They might be looking to the January transfer window to secure a loan move, which could prove crucial to development.
"But I know the club is working for the possibility of players who can help us with this condition (on loan)".
Arsenal, however, are looking for a loan deal for the player and Emery has revealed that the Gunners can not afford to pay for any transfer fees and are looking for a loan deal.More news: Christian Pulisic yet to speak with Chelsea boss Maurizio Sarri
"I don't know his [Suarez] situation now", said Emery. Only loan players. I can say to you that the club is working, the club is telling me the different situations in each moment.
"But I can not sign more".
"I'm part of a squad that has got some stars within it, people who have achieved a lot throughout their entire careers".
Some players have been taken aback by quite how intense Emery's sessions are since his arrival in the summer.
"My idea and focus, I say to him every day, is that we need his performance for us", he said. "My last conversation with him is very important", Emery said.