Wright feels the pressure is getting to the Frenchman.
He told Absolute Radio: "Watching Arsene Wenger in that press conference hurt me. It made me feel very, very sad because as much as I don't think he would ever admit it, everything that is happening right now is ultimately down to him. Yes he sends the players out to do the business but you have to say he is to blame. We're all still very much in the dark about the money situation at the club, whether he has money and doesn't want to spend it or he's a company man and he's protecting the board. Whatever it is I think we should have found out a long time ago because all of the mystery just adds to this unnecessary pressure on Wenger's shoulders."
Wright was speaking on the latest Absolute Radio Rock 'N' Roll Football Podcast available at absoluteradio.co.uk.