Winterburn has revealed the Gunners boss doesn't have the transfer kitty to land a massive-money signing.
He told the Daily Star Sunday: "I was with Arsene Wenger doing a Q&A at Arsenal and he was asked a question about buying a £30m player. He was saying, 'We can't afford to do that'. That surprised me a little bit.
"He said with a £30m fee and then maybe £25m in wages that Arsenal just couldn't compete.