The Premier League side were cruising to a comfortable UEFA Champions League success against Anderlecht on Tuesday when Alex Oxlade-Chamberlain put them 3-0 up after 58 minutes.
But the hosts switched off in the Group D contest and a pair of Anthony Vanden Borre strikes left them nervous.
Anderlecht clinched a dramatic 3-3 draw when Aleksandar Mitrovic netted a 90th-minute equaliser and Merson - who scored 99 goals in 425 Arsenal appearances - was perplexed at the approach employed by manager Arsene Wenger after going three goals ahead.
"If I'm being honest, I think they're tactically clueless," Merson told Sky Sports.
"That's an honest opinion. How you can be 3-0 up and be attacking... this is not the first time... this happens a lot.
"It is absolutely clueless. For me, the manager has got to get a message on.
"You're playing with international footballers, these are not little kids.
"These [players] have played for their country lots of times, they have played in World Cups, they played in a lot of Premier League games.
"They are all bombing forward... surely something in your head... if you know football, you say 'right, let's stop here, let's have two banks of four, leave two up front and we'll go from there. Let them break us down'.
"For me, it is clueless. It is absolutely clueless, as football knowledge."
Arsenal sit second in their group - five points adrift of leaders Borussia Dortmund.
