Arabia seems like an odd choice for a conquest to me, especially when compared to other unconquered lands on Alexander's borders. It's dry, arid, sparsely populated, and doesn't seem to have much in terms of resources or wealth.
What was his goal for such an invasion?
I'm curious where you encountered this factoid. As I note in this answer, the information we have on the existence or otherwise of Alexander's plans for further conquest is murky and contradictory. It's not that there's no sources claiming he was going to invade Arabia (there are), but some claim he was aiming elsewhere.