Graham believes that Wenger is to blame for the club losing so many of their star players, and feels that his replacements for them have not been good enough.
"The guy has done a great job for Arsenal. He's been the best Arsenal manager ever but over the last few years it has slowly been slipping away," Graham told talkSPORT. "The quality of the players that are coming into the club are nowhere near the quality of the players leaving the club.
"I don't care how good a coach or manager you are, you need the quality players on the pitch, and the last few years the players coming in are just not up to it. I think Arsene has got to sit down and say 'look, what did I do in my first period at the club, over the first seven, eight years, that I'm not doing now?'
"He was the one that brought the outstanding players in at the beginning of his reign at Arsenal for very reasonable prices, sold the majority of them, and made a lot of money for Arsenal in the transfer market. He was outstanding. But what has happened since then? He's got to look at himself."
Arsenal host West Ham United at the Emirates Stadium on Wednesday.