The Holland international is likely to be in demand this summer following a season in which he scored 30 Barclays Premier League goals to fire the Gunners to third place and has been linked with champions Manchester City.
But Sagna told the Daily Mirror: "I'm confident Robin will stay. He was a complete professional from the beginning until the end (of the season) and helped us into third.
"We want to keep him. Everyone is so grateful to him for what he's done for the club and how important he is. He is our captain and takes his role and responsibilities very seriously. He gives everything as a player and captain."