Afobe's prolific form for Wolves, where he scored 23 goals in 48 appearances, earned a big-money move to Bournemouth last month that media reports said was worth a club record 10 million pounds.
"They (Arsenal) have been massively responsible because I was there from when I was six. They've played a big part in the way I play football and helped me progress as a player," the England under-21 international told British media.
"Of all the clubs I've been at, Arsenal have banged on more than any of the others about having good technique so that's what I've taken from them. But on Sunday I've got a job to do for my club and there will be no friends.
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"I don't hold any grudges ... I've got nothing to prove to Arsenal. I would've liked to have got my chance but it didn't happen. Not everything can go your way."
Afobe has started life with Bournemouth in stunning form, scoring three goals in his last three games including the winner in Tuesday's 2-1 victory at Crystal Palace.
"This run is down to the boys giving me confidence before I even kicked a ball, self-belief, and the manager (Eddie Howe) believing in me. When you play for a manager who believes in you it gives you another 10-15 percent," he said.
Arsenal are fourth in the table, five points behind leaders Leicester City. Bournemouth are sixth from bottom.
(Reporting by Shravanth Vijayakumar in Bengaluru; Editing by Tony Jimenez)
