The Ivorian striker has been linked with a move to the Gunners following a reported dispute with the board at new club Shanghai Shenhua.
"How can he go to Arsenal after spending eight years at Chelsea?" Wilkins asked talkSPORT. "Didier, in his heart of hearts, would think that's a step too far."
Drogba scored over 150 goals for Chelsea before leaving for China during the summer.