The Whites have played a set attacking way since the Argentine's arrival to Elland Road in 2018.
Leeds have been transformed from a mid-table Championship outfit to a Premier League club under Bielsa's guidance in West Yorkshire over the last three-and-a-half-years.
United, though, currently find themselves in a tricky run of form amid an injury-crisis in LS11 that saw 10 players ruled out of Saturday's defeat to Arsenal.
Bielsa watched on last week as he saw his depleted team concede 14 goals in three games to Chelsea, Manchester City and the Gunners.
Merson - who was speaking to Sky Sports - voiced his concerns over the current state of play at Elland Road, with Leeds five points above the drop zone.
"Marcelo Bielsa's insistence at playing the same way is reminding me a lot of Arsene Wenger's latter years at Arsenal," he reflected.
"I remember covering Manchester United versus Arsenal in 2011. Arsenal turned up at Old Trafford with a weakened team, we all said that Wenger needed to change things and that he couldn't go out and play as if all his big players were on the pitch.
"What did Wenger do? He went out, played the same, and Arsenal got beaten 8-2, I'll never forget it. This is exactly what I am seeing of Bielsa at Leeds United now.
"They went to Manchester City with no players, they played exactly the same way as they usually do, and it was embarrassing, I felt for the players. The manager has got to have another game plan to fall back on when needs must.
"Leeds have been absolutely shredded in the absence of some key players, but the manager has to change things around. He has got to accept that, without those players around, the team has to stay solid, get men behind the ball, and make it hard for the opposition to score.
"I mean, Arsenal were missing sitters at Elland Road and there was barely five minutes on the clock. That tells you all you need to know."
Asked whether he thought Leeds would survive in the top flight this term, Merson added: "I don't see Leeds going down, no chance, they have key personnel returning from injury fairly soon, it'll be down to them to turn this around.
"My biggest concern with Leeds is that I love watching them play but that's no good. I'm a neutral, I love watching them, you just know you're going to get an action-packed football match. But that is not good, especially when you are not winning football matches."