Walcott returned from injury in January but has failed to establish himself as a regular in Wenger’s starting line-up, making just three Premier League starts and 10 substitute appearances.
The Gunners host West Brom in the final game of the campaign on Sunday before taking on Aston Villa in the FA Cup final on the following Saturday, and Nicholas has urged Wenger to give Walcott his chance.
He told Sky Sports: “I’m definitely concerned that if Theo doesn’t feel part of the team that he might want to leave.
“Liverpool must be looking at him given what’s happening with Raheem Sterling right now and he’s still at a great age to sign.
“I’m a big fan of Theo and this he has showed enormous maturity in trying to prove himself as a centre-forward, but if he doesn’t feel like he’s competing for a starting position then he’ll be tempted to leave.
“I thought he should have started against Sunderland and he should definitely be given a chance to prove a point against West Brom. He could play and important role in the FA Cup final with (Olivier) Giroud struggling for form.
“The same applies for Jack Wilshere, who hasn’t really had a chance either as the team were in great form when he returned form injury.”