Except for Ian Wright. The two legendary strikers briefly crossed paths in north London, but never got to team up for the Gunners.
That's because Arsenal sanctioned one of the most foolish transfers in top-flight history when they sold Cole - and Wright knew it all along.
Cole would become the third-highest goalscorer ever in the Premier League - and unlike Alan Shearer and Wayne Rooney, he didn't take penalties.
Not only a prolific marksman, the former Newcastle and Manchester United star racked up assists before anyone really took notice of them, forming iconic partnerships with Peter Beardsley at St James' Park and then Dwight Yorke at Old Trafford.
Until Harry Kane did it last season, Cole was the only player in Premier League history to top the goals and assists charts, with 34 and 13 respectively in 1993/94.
In total, the Englishman finished his career with 73 assists in the top-flight, only one less than Gunners hero Thierry Henry.
Shearer might be ahead of Cole in the all-time Premier League record books, but Cole did something even the great Geordie couldn't do at Newcastle.
He scored 41 times across all competitions in 1993/94, a Magpies record that still stands.
It takes a world class striker to know one - and Wright can only imagine what Arsenal would've achieved with Cole alongside him during the nineties.
But it's not just former Gunners boss George Graham who owes Cole a little more respect.
Wright said last year: "When I went to Arsenal, Cole was somebody that they said, 'No, he's never going to score more than 10 goals because he's lazy'.
"They would talk about his attitude. All the players would point to him, Tony Adams, and say he is something special, but I don't think he's going to get it in time.
"I remember watching him in the games and it would be very easy for people like the coaches to say, 'Nah, move him onto somewhere else'.
"Because when he was doing the running he was 30, 40 yards behind other people. He was literally jogging when people were running.
"But when he played in the games, you could see that he done something."
Wright added: "When he went to Newcastle, he frightened the f****** life out of everyone.
"[He's] somebody who still doesn't get the credit for me when people talk about the top end of the Premier League, absolutely ridiculous."
However, Arsenal did not regret selling him to Bristol City in 1992 nearly half as much as one Newcastle fan rued his sale to Manchester United.
Just two days before the Red Devils bought Cole in 1995, one Toon supporter foolishly got a massive tattoo of the striker all the way down his left thigh.
In his defence, the deal came totally out of the blue, and Newcastle boss Kevin Keegan was forced to confront angry fans outside St James' Park to explain why Cole was sold.
Of course, he would go on to haunt Newcastle as well, helping United beat them to the title in 1996/97 as one of his five Premier League triumphs.
But despite all that, even the Red Devils tried to sell him.
Before the start of the 1996/97 season, Sir Alex Ferguson tried to use Cole as a makeweight to sign Alan Shearer, who ended up joining Newcastle from Blackburn instead.
Underappreciated throughout his career, perhaps Cole still hasn't earned his place among the Premier League legends, despite comfortably being one of England's greatest-ever strikers.
Nevertheless, he won everything possible as both a team player and an individual, while smashing a bunch of records in the process.
Read more
Harry Redknapp's wife fancied Dani, he destroyed Man United and Liverpool legends, went to film premieres with Brad Pitt and won titles with Ajax and Atletico Madrid
Labelled another Pele or Johan Cruyff, chain-smoking whisky drinker Robert Prosinecki played for Real Madrid and Barcelona but became a legend at Portsmouth
Tugay smoked like a chimney but Blackburn icon could've played for anyone
Makelele feared replacing Redondo and Fergie thought his boots had magnets in them