The Gunners' 2-1 defeat to Manchester United on Sunday was their third loss in as many games.
Many fans are unhappy with their team's current form, with a majority expressing that in the stadium on Sunday.
"Arsenal are on a bad run in the league and it certainly isn't good enough," Wright wrote in his column in The Sun.
"But as they have already proved this season, they are just as likely to go on a really good run and still have a major chance in the FA Cup - Sunday's home game with Aston Villa is massive.
"It's important for the negativity to end right now. And I'm confident Arsenal's fans will get behind the team and not turn on Wenger."
Wright scored 128 goals in 221 appearances for Arsenal from 1991 to 1998.