Defeat to Liverpool has left Arsenal in desperate need of a win, in order to avoid playing catch-up later in the season.
Arsenal are already finding themselves under pressure to perform this season
The Gunners were humbled by a lacklustre 4-3 defeat at the hands of Liverpool in their opening game of the season at the Emirates, heaping pressure on Wenger.
The French boss has already come in for criticism this summer over the club's relative lack of transfer activity as their rivals spend big.
Writing in his weekly prediction column for Sky Sports, Merson claims it is now imperative that his former side can get off the mark if they are to avoid playing catch-up with the rest of the league's big hitters later in the season.
He said: “Arsenal have to win this match. People will say there are still 36 games left after this, but you can’t afford to fall six points behind. Come the end of the season, playing catch-up takes its toll.”
Arsenal face a Leicester City side that begun their title defence with a 2-1 defeat at Hull City, and Merson says the Foxes are likely to see themselves as being in a similar position to Saturday's opponents.
Merson added: “It’s a similar story for Leicester because you don’t want to start off as champions and lose your first two games. No one had ever lost their first game as champions, and if you then lose your next, all of a sudden your momentum has gone.”
But he believes both sides are likely to cancel each other out at the King Power Stadium, adding that question marks remain over Arsenal's makeshift back four.
“This is a big football match and I think there will be goals. Last season, Wes Morgan and Robert Huth blocked every shot they jumped in front of, and I don’t think that will happen again.
“Arsenal can’t defend, we know that, so I’m going for a score draw.”