Lambert is a massive fan of Wenger's achievements and the impact he has made on English football during the past 16 years.
The Scot feels Wenger would be acknowledged as on the same level as the likes of Sir Alex Ferguson, Jose Mourinho and Bob Paisley had Arsenal won the Champions League instead of losing the 2006 final.
Lambert, whose side visit Arsenal on Saturday, said: "Arsene Wenger has been around in his career as long as Sir Alex Ferguson. He's been great for English football.
"It's been incredible the way they've done it. I think some of the criticism has been way over the top for what the guy has achieved.
"You have to believe in what you are doing and where you are going, no matter what someone says.
"You have to stick to your way and I'm pretty sure if that's what he is doing, he'll believe that's the right thing to do.
"I can't sit here and criticise what Arsene Wenger's done, not at all. I'll never do it because his record indicates he has been phenomenal.
"I know how hard the job is and for the longevity, for him to be there for 16 years, the teams he has turned around, and the things he's won is superb.
"He wasn't so far away from winning the Champions League and that would have put him up there with Sir Alex Ferguson, Jose Mourinho, Ottmar Hitzfeld, Jock Stein, Bob Paisley and Sir Alf Ramsey. I'd have put him right up there."
Lambert believes the current Arsenal players are hungry for some of the trophy success enjoyed by their predecessors.
He said: "You look at the ones that have left, they have been fantastic and have all gone away and won different things.
"As a footballer you want to win things, you want that feeling of success and know what it is like to win things.
"That's what the Arsenal players are maybe looking at, to win things.
"You don't lose (Thierry) Henry, (Emmanuel) Petit and (Marc) Overmars and people like that and think you are just going to reproduce it. It's a different cycle now."
Lambert feels the hunger for honours is typified by Gunners midfielder Jack Wilshere.
He said: "Wilshere has been exceptional for Arsenal and, even when he steps up for England, he plays great.
"What he will want to do is what every player wants, to win the best things going. There's no higher accolade than winning the Champions League for any footballer.
"Outside of that you've got to go and win the World Cup.
"I think he will want to win trophies. You ask any player and they will want to be successful.
"I always think you should judge your career by what you have won rather than finance all the time.
"The ones that have medals and trophies, finance comes along with that. I think he will want to win things.
"But he will probably say he has got so much to learn and so much to give."
Lambert added: "Whether you can classify him up there with players like Lionel Messi...I'm not so sure he is at that level yet.
"He's only a kid, he's only 21. But, looking at the lad, he looks like a top player.
"It's unfair to put pressure on him because he might have a little dip somewhere in his career but then he will come back again because he is so young."