I think Rodrygo considers a moves to Saudi Arabia as a wrong move at this time of his career and rather favors a move that keeps him in Europe, he has been linked to Arsenal in recent weeks. I also agree that any club that gets to sign Rodrygo will be grateful in years to come that they did, I really wish it would be Arsenal that gets to sign Rodrygo and he comes to the EPL.
Arsenal are indeed the closest, and rumor has it they have made an offer to Madrid. But not only Arsenal, Liverpool was also rumored to be interested, but they are also waiting for the completion of the transfer of their released players. Not only from the Premier League, Barcelona is also rumored to be interested in bringing Rodrygo, although I am also not quite sure of their seriousness.
Many European clubs still have an interest in Rodrygo. I think there is no reason for him to move to Saudi to enrich himself at an age that is still very productive for competition in Europe's top leagues.
Arsenal should focus on signing a striker than another winger I really don't be this rumor cause from what I understand they've already got Madueke and they're working signing Gyokeres maybe Liverpool are the more interested club for Rodrygo since he could be used as a replacement for Diaz incase he moves to Bayern Munich. As for Barcelona I wonder if they think Real Madrid would allow them sign Rodrygo on loan like they did with Marcus Rashford.