Wenger has been under increasing pressure following a sixth season without silverware and the sale of captain Cesc Fabregas to Barcelona. However, Dalglish has backed the Frenchman to continue to push the Premier League's top sides.
"For me, Arsene Wenger has been fantastic for the football club," Dalglish told reporters. "When they were in a bit of trouble, he guided them through it.
"Arsenal have lost Cesc Fabregas, they look like they are losing Samir Nasri and have a couple of players suspended.
"But it will still be difficult. Whoever goes on the pitch for them will have the same principle. They will be formidable for us to play against. I think everybody appreciates and respects the way they play - not everyone can play that way."
Wenger joined the London club in 1996 after manager Bruce Rioch was sacked.