Former Arsenal striker says Arsenal's transfer attempt was embarrassing
Benzema elected to stay at La Liga giants Real Madrid, despite TalkSport claiming in August that a deal was close.
The French international would have been a major coup for the Gunners, who reacted by failing to sign an alternative.
Speaking after Arsenal's 2-1 Champions League defeat to Croatian side Dinamo Zagreb, Wright said: "The whole Benzema thing was quite embarrassing for us. The way they pursued it.
"When you want to get a player like that, you find out straight off the bat, are you interested in coming?
"I thought the way they dealt with that was pretty bad in the end and the way he mugged Arsenal off in the end, on Twitter 'Real Madrid's my home', it wasn't good."
Arsenal did not sign a single outfield player in the transfer window, with their apparent gamble they could convince Real Madrid and the player into a deal at the last moment like they did with Mesut Ozil in 2013 failing to pay off.
Matters were made worse by Danny Welbeck being ruled out for months with an injury days after the transfer window closed, and to pile on the frustration - Olivier Giroud got sent off last night in the first half.
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