The Gunners are looking for a new manager after Arsene Wenger confirmed that he will stand down at the end of the current campaign.
Arsenal have been linked with a potential appointment of ex-Barcelona manager Luis Enrique and current Juventus boss Massimiliano Allegri.
Some reports have suggested that the Gunners could turn to a former club legend such as Mikel Arteta, Thierry Henry and Patrick Vieira.
Bournemouth head coach Eddie Howe and Burnley boss Dyche have been touted as potential replacements from inside the Premier League.
Dyche led Burnley to a seventh-placed finish in the Premier League this season to secure a place in the Europa League.
However, former Arsenal striker Wright doesn’t want to see Dyche in charge of the Gunners due to his lack of experience at a top club.
“It depends on the route Arsenal want to go down,” Wright told BBC Radio 5 Live.
“It is not only Dyche that is a massive move. To have Wenger for 22 years, it would be a massive move for Arsenal as well.”
Arsenal lost 2-1 to La Liga giants Atletico Madrid over two legs in the Europa League semi-final last week.
The Gunners suffered a 3-0 defeat by Premier League champions Manchester City in the League Cup final at Wembley back in February.
Arsenal haven’t won the Premier League title since 2003-04.
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news