Merson says the Gunners' defensive discipline could potentially prove decisive on the biggest stage in European football.
Merson feels the opening goal will shape the entire contest and expects a tense, tactical encounter rather than a free-flowing spectacle.
Speaking to Historic Newspapers, he said: “After winning the Premier League, Arsenal now have an amazing opportunity against Paris Saint-Germain in Saturday’s final.”
The former Arsenal midfielder expects nerves and caution to dominate proceedings early on, particularly from the French champions.
“The first goal is going to be key. It’s a Champions League final, so it will be a cagey game – I can’t see PSG playing the flamboyant football they showed in the first leg of their semi-final against Bayern Munich,” said Merson.
“PSG will be worried about going 1-0 down to Arsenal, because they’ll know they’ll be up against it - they’ll be scared of losing the first goal.”
Merson believes that scenario would play perfectly into the hands of Mikel Arteta and his side, whose structure and organisation could thrive in a tense final.
“A cagey game would suit Arsenal well. If PSG arrive with their gung-ho approach, then Arsenal could be in a bit of trouble, but if they play with a fear of going 1-0 down, then Arsenal are right in the game. I’m going to predict a 1-0 win for Arsenal.”
Merson is also fascinated by the tactical duel between Arteta and Luis Enrique, believing the PSG boss possesses greater attacking variety.
“In terms of the managers, Luis Enrique has a bit more about him than Mikel Arteta in an attacking sense,” he explained. “We saw that with Paris Saint-Germain in their two legs against Bayern Munich.”
However, Merson still believes Arsenal can prevail if they gain control of the match early.
“PSG are probably the more well-rounded side, but Arsenal have their way of playing. I’d be worried if they have to chase the game with PSG’s front three, but if they score the first goal, I’d back them to see it through.”