Arsenal booked their place in next season's Champions League group stage with a third-placed Premier League finish.
The Gunners fought Manchester United off in the final weeks of the season and will head into next season's Champions League without needing to go through the qualifying rounds.
But despite having managed wins over Manchester City and Liverpool in the league this season, Merson questions whether Arsenal have the bottle when their backs are against the wall.
"When the pressure is off and you can’t win the league, football is a completely different game," Merson told Sky Sports News.
"When you have to go into a game when you're top of the league or chasing teams down, the pressure is different.
"I’m sorry but, when the pressure is on, they don’t perform, and when it’s off they are the best team in the country."
A surprise Champions League exit at the hands of Ligue 1 side Monaco means Merson may have a point over their big-game mentality. Saying that, all Premier League sides struggled in Europe this year and Liverpool are just as guilty when it comes to throwing results away when it really matters.
When you look at the Arsenal side in search of leaders, they're not the easiest to identify and that could be the reason behind their big-game mentality suffering. In a lot of big games their key players go hiding and that's not a situation you want fans noticing.
Arsenal ended the season on a high, injecting belief that more is to come next season but that sounds very familiar. Making it happen and dealing with pressure is what Arsenal need to learn before getting ahead of themselves. An experienced signing or two may help implement key elements into Arsene Wenger's squad.
Alan Smith - who also played for Arsenal - disagreed with Merson.
Smith said: "There has been an important shift against the big teams, particularly after the 2-0 win at Manchester City and I think that will set them in good stead in next year."