Only three years after coming within 90 minutes of a Champions League final, The Whites face financial meltdown if the season ends in relegation.
The Arsenal manager admitted the Leeds story is a nightmare scenario.
Wenger said in The Mirror: "When you are where we've been for years people take it for granted that you will stay at the top. They look at us and think 'you're Arsenal, you should always be in the top two'.
"But what's happened to Leeds shows how quickly it can go downhill. When the train comes off the rails like that it happens so quickly and stopping it is very difficult, especially when you've been at the top. Maybe it's easier if a club is used to fighting relegation and after one good season goes back into the bottom of the league.
"But when you've been right up there and it suddenly drops away like that it is so difficult."
Wenger insisted: "The hardest thing of all is to keep a club at the top of the league. You can win trophies or not, because that happens, but staying there year after year is the hardest thing of all.
"That's why you should enjoy it when you are up there, because it can change so quickly. You might look at a club which is dominant and think that will last for 100 years but nothing lasts for such a long time. You have to fight and work for it every season."