That is according to Piers Morgan, who bumped into Jose Mourinho while shopping in Harrods.
Arsenal have had a disappointing start to the season, taking just six points from their opening four Premier League games.
They also missed out on a host of top transfer targets in the summer window with Alexandre Lacazette and Sead Kolasinac being the only two additions.
Arsene Wenger has been under increasing pressure to succeed at Arsenal after signing a two-year contract extension at the back end of last season.
But he has so far failed to live up to expectations and is already in the hot seat.
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And Arsenal fan Morgan has revealed when he met Jose Mourinho in London the Manchester United boss admitted that he was baffled as to why Wenger is still in charge at the Emirates.
Mourinho reportedly said to Morgan: “I feel so sorry for you Arsenal fans.
“I have some good friends who love Arsenal like you do and they are just as depressed as you about the club.
“They suffer so badly, it is a terrible thing to observe.”
Morgan then asked: “How the hell is Arsene Wenger still in his job?”, to which Mourinho replied: “No idea.”
“But I hope he stays in it for a very long time.”
Up next for Arsenal is a Europa League clash with FC Koln on Thursday (8:05pm).