The Gunners are reportedly close to agreeing a £45m move for the Brazilian from the Premier League champions.
Jesus is keen on the move to reunite with Arsenal boss Mikel Arteta, whom he worked with while the Spaniard was assistant to Pep Guardiola at the Etihad Stadium a couple of seasons ago.
The 25-year-old's place in the City team has come under increased threat following Erling Haaland's arrival from Borussia Dortmund.
Arsenal only have Eddie Nketiah as a recognised senior striker, having lost Pierre-Emerick Aubameyang in January and Alexandre Lacazette this summer.
Arsenal, who will play Europa League football next season, have already signed Brazilian Marquinhos, goalkeeper Matt Turner and Portuguese playmaker Fabio Vieira.
"They have got to get him. It's that simple. Everything goes out of the window if they don't," Merson wrote in a column for The Daily Star.
"It doesn't matter what else they do. All they've got right now up front is Eddie Nketiah, who recently signed a new contract when it looked like he might leave.
"No disrespect to Nketiah but Mikel Arteta must realise he won't get you into the top four. Absolutely no chance. That's a fact. So they need Jesus.
"They don't need young players with potential like Fabio Vieira. They need experience. And Jesus has plenty of that."
