Merson insists there was no real need to bring in another winger after Madueke arrived in a £52m deal.
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"I am flabbergasted by Arsenal signing Noni Madueke," the 57-year-old wrote in his Sky Sports column.
"Chelsea just won't believe that this deal has come to them. They won't believe their luck."
He added: "I'm shocked. If Arsenal went and bought any player from Chelsea, he'd have been the last one I thought they'd sign.
"Are they getting this deal done and then all of a sudden it allows a potential sale of Saka or someone else,' Merson wrote.
"If fit, he plays. So why do you spend £52m on a backup for him?"