Merson, speaking on Alan Brazil Sports Breakfast show, said: “If Arsenal come calling for you, and you don’t come in the first 24 hours then you aren’t signing.
“I mean, you are talking about one of the biggest clubs in the world. Everybody wants to play for Arsenal.”
Lukaku, who bagged a brace for Belgium against the Republic of Ireland in their second group game of Euro 2016, has been linked with a move away from Merseyside all summer.
According to Merson, the Belgian would be a welcome addition in North London, provided the fee is right.
“I think he’s a bit different, a bit stronger up front which would help Arsenal,” he added.
“I can see why Chelsea let him go; he was one of them that needed the ball over the top. But he was a young kid and I think he’s learnt his trade now.
“It just depends how much he is.”