Leeds caretaker boss Eddie Gray said: "The boy has been terrific. He is bubbly in training and is the type of player that can get at defenders, put them under pressure and take people on. He has been an asset to us."
Pennant played for Leeds in the 4-1 defeat by Arsenal in the league, but he will not be allowed to play in the FA Cup Third-Round tie on 4 January.
He is looking very good and I am happy for him to play on and get experience," said manager Arsene Wenger on the official Arsenal website.
"If he didn't play for us he'd lose three or four weeks of competition which I think is vital at his age.
"When he does come back he'll fight with Freddie Ljungberg for the position on the right.
"But I don't think I'll let him play in the FA Cup tie because if he comes back later he will not be able to play for us."