The 23-year-old was instrumental in the Gunners' dramatic comeback in the League Cup last night, when they came from 4-0 down against Reading to win 7-5 in extra time.
"We should be asking: 'What are Arsenal doing thinking about letting [Walcott] go?'" Redknapp writes in the Daily Mail. "His performance against Reading was dazzling and must have put a few quid on the Arsenal price, or helped his bargaining position.
"Remind me why Arsenal have allowed another top player to get to this stage again! I'm a Theo fan. The boy could catch pigeons with that pace.
"It is ridiculous that Arsenal; are thinking about selling him, though. With that pace, there will be no shortage of takers."
Liverpool are one club that have been named as having interest in the former Southampton star.