Interceptor, Shadow's Hound

As Interceptor returns to the battlefield because of its triggered ability, you choose which player, planeswalker, or battle it's attacking. It doesn't have to attack the same player, planeswalker, or battle as your legendary creatures.

Although Interceptor's last ability causes it to enter attacking, it was never declared as an attacking creature. Abilities that trigger whenever a creature attacks won't trigger when it enters attacking.