The former midfielder has also questioned how they expect to finish ahead of Chelsea after trailing them by 12 points last season.
Many were anticipating the club to go big in this transfer window and sign several players to aid them in their quest to land the Premier League title this season.
Instead, it turned out to be a summer of frustration at the Emirates, as the capture of Petr Cech from Chelsea became their only move, making them the only club in Europe’s top five leagues to not sign an outfield player in the window.
And Merson has criticised them for their failure to strengthen the squad adequately and spend the money required.
“I think it cheats the fans, I think the fans look at it and think, what are we coming for?” he said to Sky Sports.
“It’s the fans' money, it’s not Arsene Wenger’s money, and it’s the fans' money that they’ve paid to buy players. The whole idea of going to this big stadium that holds 60,000 fans was to bring in top quality players.”
"I’d be absolutely shocked if they won the Premier League"
The former midfielder has also questioned how the Gunners think they will win the league after failing to add to their squad.
Arsene Wenger’s side were hotly tipped to challenge this season after a fine second half to the last campaign saw them win the FA Cup for the second successive year and become one of Europe’s most in-form sides.
And Merson says he would be 'absolutely shocked' if they won the league this year, given that they finished 12 points behind winners Chelsea last season.
“It’s the same team that finished 12 points behind Chelsea last year - why this year will this team finish above Chelsea?” he added.
“There will be a phase where they will be unbelievable, winning seven on the trot with the best football you’ve ever seen, but at the end of the season with this team, I’d be absolutely shocked if they won the Premier League.”