The Tottenham academy graduate won two Premier League titles and two FA Cups during a five-year stint at Arsenal.
The 46-year-old was also a part of the Gunners famous Invincibles side and is heralded as a club legend on the red side of north London.
"It's hard to compare Sol to people like Thierry. Lots of people look at strikers, they always do," Walcott said in the talkSPORT documentary, Being Sol Campbell.
"But Sol, for me… the fact he's gone from Tottenham and the amount of stick he got moving to Arsenal and then wins everything and scores in the Champions League final.
"He would rank just below Thierry, because of Thierry being my idol and what he did for me. Sol was 100 per cent more of a leader than Thierry. I'm quite surprised that Sol hasn't got a statue as well, because that's the kind of impression he brought to Arsenal."