Vardy will spearhead the Foxes’ Premier League opener – against the club that tried to sign him last summer – a fortnight on Friday.
Leicester are back down to earth after their magical title-winning story two seasons ago, followed by a campaign confounding expectations in the Champions League.
Far from wondering what might have been in north London, however, Vardy is happier that he went through the highs and lows of the last two years with his band of brothers at the King Power.
While Arsenal went out at the knockout stage of the Champions League last season, Leicester reached the quarter-finals. Like the Foxes, Arsenal also start this season outside the top four.
Vardy said: “I have no regrets whatsoever. I have made some great decisions in my life.
“Since I have been here we have had play-off heartache to winning the league, battling relegation to stay in the league to avoiding relegation to finish mid-table.
“Who knows it might be another good season. We will have to wait and see what the club’s plans are for where they want us finishing and we will be putting our all in to do that.”
Claudio Ranieri exited last season with the club’s form in freefall. Craig Shakespeare stepped up to inspire the Foxes to a strong finish.
The club have yet to set fresh targets for Shakespeare and his men this season with more business still to conduct in the transfer market.
Striker Kelechi Iheanacho will arrive at the end of the month for around £25million. Leicester are also hunting another attacking midfielder and hope to hold on to Riyad Mahrez.
Whatever happens, Vardy says the players are united behind Ranieri’s successor and will strive to hit the ground running.
“We will have to see what the gaffer wants.” he said. “They will be sitting down knowing where they want to be and where they want the club to be. I am sure as soon as we find that out that is what we will be aiming for.
“Shakey has been brilliant. He literally leaves no stone unturned. He knows the night before what we are going to be doing the next day and everyone is putting 110 percent in for him.”
Vardy missed a string of gilt-edged opportunities to score in Leicester’s 2-1 defeat in the Asia Trophy Final against Liverpool in Hong Kong.
With three weeks to go before the games begin for real, however, the Footballer of the Year for the 2015-16 season is confident that he will grab the goals to put himself in contention for Gareth Southgate’s World Cup squad with England.
“Obviously I want to score more than I did last year.” he said. “That is down to me with my striking and making sure I am getting the goals so I am playing on a regular basis to do that.
“Then if I have had a good season who knows? It could be the World Cup next year.”