The Evening Standard reports. that Arsenal wanted to sign the Englishman after an extraordinary season at Leicester in 2016, where Vardy scored 24 league goals in Leicester's unbelievable run to Premier League glory.
However, despite the temptation of a significant pay rise - as well as the fact that the Gunners triggered the £20m release clause in his contract, Vardy turned down a move to the Emirates, and signed a new four-year deal with Leicester based on the advice he received from the England camp at Euro 2016.
Ahead of his trip to Russia with England this summer, Vardy told the Evening Standard: “It wasn’t an irritation. There was just a lot of time when we were in our rooms to think about it. It wasn’t something you could just put to the back of your mind.
“But I made my decision back then and I’ve not looked back since, carried on, played my football, been doing well for my club and I think that’s what’s got me the opportunity where I can go to a World Cup.
“The Euros was a new experience for me and the World Cup is going to be but obviously the Euros is a major tournament as well and you know exactly what you’ve got coming so you can be more relaxed about it knowing I have been there before.”
Vardy has recently been linked with Europa League champions Atletico Madrid as Diego Simeone looks for a new talisman, with Antoine Griezmann expected to depart for Barcelona in the coming weeks.
But the 31-year-old insists he is only focused on the World Cup in Russia and Vardy followed captain Harry Kane’s lead by claiming Gareth Southgate’s young side should harbour aspirations of winning the tournament.
“The boss has picked a lot of players who are in form and rightly so,” he said. “They deserve to have their call-up and he is going for it. It is a young squad, anything can happen and everyone wants to be going out there in our heads thinking we can win it.
“But we have to be on our game every day, making sure we are at 100 per cent and working to get as far as possible.”
Only time will tell if Vardy will be tempted once again to leave the King Power Stadium, but Southgate will be hoping that he will come into the World Cup with a fresh mindset this time around.