The Gunners were 4-1 winners against Russian side CSKA Moscow in the first leg of their Europa League quarter-final last week before a 2-1 loss in the return leg on Thursday night.
The north London outfit will now take on La Liga giants Atletico Madrid in the Europa League semi-finals.
Arsenal are in sixth place in the Premier League table and 11 points behind Tottenham Hotspur in fourth spot.
The Gunners are facing an uphill battle to secure a return to the Champions League after a one-season absence.
The north London side can still qualify for the Champions League if Arsenal win the Europa League in the current campaign.
Some Arsenal supporters have been staying away from The Emirates in recent weeks following another disappointing season.
Former Gunners star Merson believes winning the Europa League would represent an excellent return for Wenger’s side.
“I’d be disappointed if it wasn’t. They’d be in the Champions League,” Merson told Sky Sports.
“Surely for Arsenal, to win one of four trophies… Arsenal aren’t going to win the Premier League but if they can keep on nicking cups here and there.
“To win any European competition, I don’t care who you are, that’s a good season.”
Arsenal finished in fifth place in the Premier League table last term to miss out on a Champions League spot behind Liverpool FC.
The Gunners were dramatic 3-2 winners against Southampton in the Premier League at the Emirates Stadium on Sunday.
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