William Carvalho, Bruno Fernandes and Gelson Martins, together with Dutch striker Bas Dost, have also cancelled their contracts with the Portuguese club.
The newspaper says Arsenal low-balled Sporting as Martins has been threatening to terminate his contract if they didn't negotiate his sale but the Portuguese club rejected our offer and insisted we pay his £53m release clause in full.
The mass exit comes at the end of a tumultuous season for Sporting with clashes between players and both of the club's most radical fans and its president. At least one player was injured and the club's changing room was trashed.
More than 20 suspects were detained by police following the incident.
In April, outspoken president Bruno De Carvalho harshly criticized his team's performance against Atletico Madrid in the Europa League, and pointed out mistakes by individual players on social media.
De Carvalho threatened to suspend 19 players after Sporting's 2-0 loss to Atletico Madrid in the Europa League in April, in a freaky Facebook post singling out some of the club's key names.
Football fans can get very angry and whilst the anonymous trolls on social media can be annoying and hurtful it's still a lot safer than the very real problem that Sporting players had to deal with when they were attacked by 50 fans at their training ground.
The Lisbon club are now in turmoil as the result of a rift between the squad and both the club's president Bruno de Carvalho and a radical group of supporters.
Martins will be part of the Portugal squad at the 2018 FIFA World Cup, which offers a distraction while the Portuguese Securities Market Commission examines whether Sporting's disgruntled players have a case for early termination.