Many athletes from the world's largest country were banned from competing at the Rio Olympics following claims of state-sponsored doping, though individual federations were able to decide over which Russians could take part.
Currently seeing out his career in Kazakhstan with FC Kairat, Arshavin told national news outlet Prosport: "In my opinion, all cyclic sports involve doping. It's simply impossible without doping. That means swimming, skiing, cycling. I think everyone dopes.
"Russia is paying for its political decisions, including in sport. Is it fair or unfair? Life isn't fair. Of course, this is a great tragedy for the athletes, especially the Olympians.
"[They have] almost one or two chances in life to get an apartment, a normal premium. Of course I understand them, they are not in the best condition now."
Arshavin spent four years on Arsenal's books, and also won 75 caps for the Russian national football team.