News broke on Friday that the 53-year-old is expected to leave Bramall Lane after a five-year spell that has seen him take the Blades from League One to the Premier League.
Things have been a lot tougher for United this term, however, and they currently find themselves facing a likely relegation from the top flight.
It is also understood that Wilder has disagreed with the Blades’ hierarchy over their apparent plans to install a Director of Football at Bramall Lane.
But while there has been talk of Celtic creating a similar role at Parkhead in recent months, Merson believes that the English boss would be much more willing to work with a figure in that senior role if he were to move north of the border.
Speaking on Sky Sports’ Soccer Saturday, he said: “The job he’s done at Sheffield United, a phenomenal job to take them from where they were.
"Everywhere he’s been he’s been successful. Take this season away – we expected this season last season, let’s be honest, but they punched so much above their weight.
"They’ve had big injuries this season with the back three that really were their main boys in my opinion because people just couldn’t get used to the way they played.
"Everywhere he’s been, he’s a winner. They’ll be queuing up to get him, absolutely queuing up for him.
"You’ve got to careful what you wish for, Sheffield United because for me, if you keep Chris Wilder he’s back. He’ll bring them back.
"I don’t see them coming back without him.
“I think the Celtic move works. You’re talking about a Director of Football, which they want at Sheffield United, but he doesn’t know the Scottish Premiership like he knows the Championship.
“So for me, I think that works, the Celtic one. I think Celtic would be a good move for him. I think he’d be okay with them bringing in a Director of Football because he doesn’t know that league, so that would help him”.