Arsenal player cycling to collect French wine - that's worrying (9)
I believe the answer is:
unnerving
'worrying' is the definition.
(I know that worrying can be written as unnerving)
'arsenal player cycling to collect french wine' is the wordplay.
I cannot quite see how this works, but
'player' could be 'e' (I've seen this in other clues) and 'e' is found in the answer.
'wine' could be 'vin' ('wine' in French) and 'vin' is found in the answer.
This may be the basis of the clue (or it may be nonsense).
'that's' acts as a link.
(Other definitions for unnerving that I've seen before include "making one lack confidence?" , "intimidating" .)