He left the Blues to join London rivals Arsenal this summer, however, with Chelsea unwilling to meet his contract demands.
Willian made a promising start to his Gunners career on Saturday, helping Mikel Arteta’s side secure a 3-0 win over Fulham on the opening day of the new season.
Chelsea have signed the likes of Timo Werner, Hakim Ziyech and Kai Havertz this summer but Merson still believes they should have kept hold of Willian.
The former Arsenal and England star told Sky Sports: ‘I can’t believe Chelsea let Willian go.
‘I know they’ve gone out and get special players, but there’s nothing to say they’re going to hit the ground running.
‘In Willian, you’ve got someone there who is ready-made.
‘I like who they’ve signed, but they cost a lot of money, and their wages are probably the same as Willian.
‘Frank Lampard has now. He hasn’t got four years. That’s management, I’m not being horrible.
‘Even if Frank wins the league this year, it doesn’t mean he’s going to be there in four years’ time! We know that, and how it changes.
‘Who is to say this isn’t going to take time for Chelsea? And I don’t think they’ve got time at the moment.’
Speaking after Arsenal’s impressive win at Fulham, Arteta said: ‘On the first day you always have butterflies.
‘It’s been a strange pre-season. Yesterday was the first day we had the full squad together training.’
The Gunners boss also praised new signing Gabriel after he scored and helped keep a clean sheet on his debut.
‘He hadn’t played any football for six months so to come and play a game in the Premier League after training with the team for three or four days is a big task,’ said Arteta.
‘The boy showed a lot of character and what he can do. He can still improve a lot but he had a really good game.
‘Willian knows the league, the country and is very settled here so I knew his performance would settle straight away.’