Vinny confirmed on Belgian TV a few days ago that he turned down Pep's offer to replace Arteta. Also said they still speak.
Presumably he didn't want to give up on the Anderlecht project because 1. he's not a quitter and 2. Anderlecht took a risk on him and made such a big deal out of his return and he didn't want to abandon them
Maybe after going public like that he won't get a second offer.