The Blues have made the Brighton star their top summer target now Manuel Ugarte is heading to Paris Saint-Germain.
Caicedo is a player who has long been linked to the Gunners, even trying to force a move to the north Londoners in January.
However, they face huge competition other clubs this summer if they want to land the £80million-rated midfielder.
Arsenal fan Woods could not hide her frustration at as money-bags Chelsea look set to gazump them.
Speaking on talkSPORT Breakfast, she said: "I've got another Chelsea one, apparently they're keen on Moises Caicedo. Oh for god's sake…"
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Ally McCoist said: "We're just stripping Brighton of every player they've got, it's terrible.
Asking talkSPORT chief football correspondent Alex Crook, Woodsy added: "How likely is that one to go through?"
Crook replied: "I think it's quite likely…"
Cue Woodsy hiding her face with a piece of paper..
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Crook continued: "Obviously Arsenal were the team pushing for him in January. He signed a new contract in January and part of the reason Brighton wanted to keep him then was that they were anticipating there would be more clubs in for him in the summer.
"I think that is the case because Arsenal are lurking in the background.
"Brighton's trump card might just be their interest in Levi Colwill. We know last week they had a £30m bid rejected by Chelsea for the young defender.
"Mauricio Pochettino wants to keep him, but if they can somehow facilitate a loan move or part-exchange move involving Caicedo then I think Brighton would be open for that.
"We know Alexis Mac Allister is likely to move on, probably to Liverpool. Brighton are preparing for the departure of Caicedo as well and they have replacements lined up."