In a report on Sky Sports News just now, they report that Chelsea have in fact had inquiries from Arsenal and Tottenham Hotspur for a loan deal with Demba Ba, but have rejected both. However, a third Premier League club has evidently had a loan bid accepted, which could mean both London clubs have lost out.
A point in Arsenal's favor, though, is that the player himself would vastly prefer to play for a team in the Champions League - unless the unknown third club is Manchester United or Manchester City, it's likely that team would not be playing in Europe. Rumors have included West Ham interest in the player, so for the moment it seems that's the most likely Mystery Team.
But if Ba is strongly committed to playing Champions League soccer, it seems like Arsenal remains in a strong position to bring him in. An improved fee may help - the last report was that Chelsea wanted £3 million for a year's loan, while Arsenal was offering half that.