Shearer made the prediction on BBC Two on Sunday evening following the draw for the quarter-finals of the prestigious cup competition.
"It is hard to pick a favourite,” said the former Newcastle striker when asked who he thinks is the favourite to win the FA Cup this campaign. “I know there is a replay still be played, but I would have to favour Arsenal.”
Arsenal are yet to book their place in the quarter-finals of the FA Cup, having played out a goalless draw with Hull City at the Emirates Stadium in the fifth round at the weekend.
This means that the Gunners will play a replay against the Championship side at the KC Stadium, and there is no certainly that they will win it.
Manchester United will also fancy their chances of winning the FA Cup if they get the better of Shrewsbury Town away from home in the fifth round tonight.
Everton will face Chelsea in the quarter-finals, while Crystal Palace will be favourites to progress to the last four at the expense of Championship outfit Reading.
West Ham United will take on the winners of United and League One side Shrewsbury, while Watford will face either Arsenal or Hull.