Clegg, who is a Gunners supporter, has expressed his devastation in the North London side's 3-1 defeat to Bayern Munich in the first leg of the Champions League round-of-16 tie last night.
"I'm heartbroken," BBC Sport quotes Clegg as saying. "I'm heartbroken. I really am. I don't think [Wenger should quit]. I know what it's like to lead a team that goes through ups and downs. But I wouldn't compare myself to Arsene Wenger. He probably wouldn't like that."
Meanwhile, Arsenal are due to face Aston Villa at the Emirates in the Premier League this Saturday.