The Italian – who guided Manchester City to the Premier League title in 2012 – is thought to be close to leaving Turkish giants Galatasary, after suffering abuse from a section of his own supporters, saying; “I could go at any time. I’m not here to listen to people curse me.”
And Gray believes that should Wenger leave the Gunners, Mancini could be appointed as a surprise replacement.
“If Arsenal are looking for a successful manager from the continent, to add a little bit of steel, then I could understand the logic [of appointing Mancini],” he told talkSPORT.
“He’s very experienced. He’s won the Serie A title and the Premier League, so he knows how to get that done.
“He’s a little more pragmatic in his style than Arsene, maybe that would make Arsenal better. It’s an interesting thought.”
Wenger has found himself under pressure this week after three Premier League games without a win that appear to have ended the Gunners’ title challenge.
Arsenal now look set to face a fight to the finish with Everton for fourth place, who trail the Gunners by four points with a game in hand.
The two sides meet at Goodison Park next Sunday, however Gray reckons Arsenal will just pip his former club to fourth spot.
“Arsenal will just see Everton off [in the race for a Champions League spot],” he added.
“Everton have got some tough games coming up and they have to win all of them. Everton will go close but they might just miss out.”