The Swiss midfielder filled in at left-back in the first-leg, which Arsenal lost 2-1.
"Ideally for me, you play Cedric Soares at left-back and put Xhaka back in midfield because he can keep the ball safe and give that pass that we need," Wright told Ringer FC's Wrighty's House podcast.
"It does not make me comfortable seeing Xhaka at left-back. It's not his thing, that's not where he should be.
"Cedric was bought and signed for four years to play at either right or left, play him! Play Xhaka where he should play and then it's out of Saka or Pepe to be on that side."
Wright added: "Go with the strongest team. [Dani] Ceballos doesn't make my team, I would rather have Mohamed Elneny in there.
"I know he scored the other day but he's got a drive and a determination about him. You cannot dislike his output."