And the former Arsenal midfielder has warned that it's fans who get you the sack...
The north London side travel to Stamford Bridge later today before a Capital One Cup clash against fierce local rivals Spurs.
And Merson believes the Arsenal faithful will ask serious questions if things go wrong - hinting that it's fans that get you the sack.
Merson told the Star: "If they get beaten by Chelsea, the fans will be asking serious questions. He needs to get a result or I dread to think what might happen.
"Arsenal have got Tottenham in the League Cup next week as well, so it’s a big time for them. Their fans will be absolutely fuming if he loses both games - and it’s fans who get you the sack."
Is the sack plausible this season?
While Merson hasn't outright predicted a Wenger sacking if Arsenal lose to both Chelsea and Tottenham, he has very much implied that the ball will get rolling. And, after so long with the Gunners - and so many disappointments in recent years - it's hard to believe it could ever happen.
But many managers are on the brink this season. Brendan Rodgers is running out of time at Liverpool, while patience will also run thin with Louis van Gaal at Manchester United if the giants endure another mediocre season by their standards.
Even Chelsea boss Jose Mourinho has been the subject of intense scrutiny after the Blues' poor start to the season. So what about Wenger and Arsenal?