The north London side made a disappointing start to the Premier League season last weekend after a 4-3 victory over Liverpool at the Emirates Stadium.
Arsene Wenger’s side made a promising start after Theo Walcott broke the deadlock in the first half after earlier missing a penalty.
However, Philippe Coutinho levelled on the stroke of half-time before the Brazilian added a second sandwiched between goals from Adam Lallana and Sadio Mane.
Arsenal duo Alex Oxlade-Chamberlain and Calum Chambers reduced the deficit but Jurgen Klopp’s men hung on for a 4-3 win in their Premier League opener.
Wenger’s side make the trip to Premier League champions Leicester City at King Power Stadium on Saturday evening after the Foxes lost 2-1 to Hull City in the season’s first game last weekend.
And Merson warned the Gunners that Arsenal are already facing a must-win game this weekend.
“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,” Merson told Sky Sports.
Arsenal haven’t watched the Premier League title since 2004.
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