The striker, 24, revealed he occasionally cried after Arsenal lost games and explained being a fan was not good for his health.
He told Sky Sports: "I used to be an Arsenal fan. I like Cesc Fabregas.
"But I'm no more an Arsenal fan. I was so much into Arsenal sometimes I could cry when they lose. That wasn't good for me.
"So I was like, 'nah, I'm going to stick to myself and don't care much because it's not good for my health'. It's just me and myself right now."
Dennis scored his seventh Premier League goal of the season against Brentford on Friday, taking his total goal contributions to 12 from 15 games.
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