Schjelderup, 22, scored a memorable goal against England at this summer's tournament and provided three assists in total as Norway reached the quarter-finals, further enhancing a reputation already built during an excellent club season in which he contributed 10 goals and seven assists in 43 appearances for Benfica.
According to Konur, the winger also fits the transfer plans of Tottenham Hotspur and AS Roma, both of whom are said to be tracking him closely, making any move for the Premier League champions far from straightforward.
Benfica are reluctant to sell and have set his release clause at €100 million, though reports suggest their asking price for a negotiated deal could realistically fall between €40 million and €80 million, with Schjelderup under contract in Lisbon until 2028.
Manager Marco Silva has stated publicly that the winger is not for sale and remains part of his plans for the coming season, but the scale of interest from multiple leading European clubs could yet test that resolve.
Arsenal's interest comes as the club continues exploring options across the forward line, with reports elsewhere linking them to Norway team-mate Antonio Nusa as an alternative given Benfica's reluctance to negotiate over Schjelderup. Liverpool and Chelsea have also been credited with interest in the player, underlining the extent of competition Arsenal would face were they to move beyond the monitoring stage and launch a formal approach before the transfer window closes.
Schjelderup's rise has been notable given his uneven start under Benfica's previous head coach, José Mourinho, who is now in charge at Real Madrid. The winger initially struggled for regular playing time before working his way back into the side and eventually winning Mourinho over with his performances, a turnaround that has continued under Silva this season.
Should Benfica be forced into a sale, the club are said to view Arsenal's Reiss Nelson, who worked under Silva during a loan at Fulham, as one possible replacement, a connection that further underlines how closely the two clubs' transfer plans could yet become intertwined this summer.