Arsenal have not won a trophy under Wenger for five years and wresting the Premer League title off Manchester United this season has already been dented following Emmanuel Adebayor's move to Manchester City for £25 million.
Ferguson said: "Arsenal have got the biggest test to be where they want to be.
"I know that Arsene doesn't have any money. I think that selling Adebayor. well, whether he can use that money is another question.
"There seems to be evidence that he can't use the money, I don't know. I think they're struggling cash-wise. It's a big test for Arsenal."
Despite the two managers' war of words over the years, Ferguson still respects Wenger what he has achieved at Arsenal. However, he also revealed that Wenger faces pressure this season deliver silverware.
Ferguson said: "I think Arsenal is his club. He built it in his image and it's hard to leave it.
"Arsene's 59 now and he'll never have the time to rebuild another club like Arsenal if he went elsewhere. He realises that at his age.
"He could have gone to Real Madrid, but is Real Madrid his kind of club? The way he thinks about football? I don't think so."
Meanwhile, Wenger has admitted his interest in Bordeaux striker Marouane Chamakh, even though the Morocco international claims he has all but given up hope.
"We keep an eye on him," said Wenger. "He is one of the players that we will follow and if we went for a striker then he would be one of the possibilities."