I have the same problem with my tests.
I have checked the contect of the data directory of my JBoss AS. I have unpacked the content. The structure looks like:
bean.xml (my file with interceptors)
That means, Arquillian adds two bean.xml to the deployment. Perhaps this is a problem.
The placement of the beans.xml and test class matters. If the test class is in a BDA (like WEB-INF/classes) that has an empty beans.xml file, then interceptors are disabled for that BDA (the default behavior). Therefore, you'd want to have finer control over the ShrinkWrap deployment to enable interceptors for all CDI beans whose method invocations are to be intercepted. The best way to handle this for micro-deployments, is to create a WebArchive and add all your classes to WEB-INF/classes. You'd then need to add the interceptor to the beandescriptor placed in WEB-INF/beans.xml.
Additionally, I found it important to apply the @NonBinding annotation to certain attributes of the @InterceptorBinding annotated type. This is of course not applicable if your interceptor binding annotation does not have any attributes.
Had the same issue. Found that injecting real cdi bean works with interceptors, but when injected through interface it fails.
You can find some info here: https://community.jboss.org/wiki/UsingArquilliantotestapossiblebuginWeld