The Gunners boss signed a two-year contract extension with the north London club in the summer despite Arsenal finishing in fifth place in the Premier League table.
Wenger’s side missed out on a spot in the Champions League but secured a third FA Cup crown in four seasons thanks to a 2-1 victory over Premier League holders Chelsea.
Arsenal haven’t won the Premier League title since 2003-04 and the Gunners haven’t reached the Champions League quarter-finals in their last seven seasons in the competition.
The Gunners were previously linked with ex-Borussia Dortmund boss Klopp before Liverpool appointed the German coach as their new manager, while Conte and Mourinho were both available ahead of the 2016-17 Premier League campaign.
Former Arsenal midfielder Merson is bemused about the north London side’s failure to lure a world-class manager to The Emirates as Wenger’s long-term replacement.
“He [Wenger] runs the club, he runs everything,” Merson told Sky Sports.
“He could have sat there three years ago and said ‘these four managers coming up, they have left their football clubs, they’re world class managers, go and get one’.
“They’re not even managers who have been sacked, they’ve just left their club.
“Conte, Klopp, even Mourinho – world class managers.
“He should have said at the time, thinking of the club, go and get one of them. They won’t come up all the time.”
Arsenal signed Lyon striker Alexandre Lacazette in a club-record £52m deal in the summer transfer window.
The Gunners signed Bosnian defender Sead Kolasinac in a free transfer from Bundesliga outfit Schalke 04.
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news