Graeme Souness concedes gay footballers would not feel comfortable coming out in the current climate.
Premier League clubs have come together across matches this weekend to celebrate Stonewall's Rainbow Laces campaign.
The campaign shows support for all LGBT people in football, with Souness discussing the subject ahead of Brighton's draw with Wolves on Sunday.
Former Aston Villa and West Ham midfielder Thomas Hitzlsperger became the first openly gay player to have featured in the Premier League in 2014, but no active player has done so.
"The PFA and Premier League have to look at themselves," Souness said on Sky Sports.
"Why has nobody ever come out? I don't think football has created an environment where anybody would feel comfortable or confident if they did.
"There must be gay and bisexual players in the Premier League but nobody has felt confident enough to say 'this is me'.
Souness was unsure if there would be too much pressure on the first player to come out as gay but admits perceptions have changed since his time in the dressing room in the 70s and 80s.
"It has to come from that individual, who wants to be true to themselves and their family," the Sky Sports pundit added.
"I came from a generation, where it was extremely homophobic, the banter in our dressing room.
"I came down and took part in the Brighton Pride and it was enlightening. I learnt so much.
"I found it extremely educational and I would tell anyone to come here if they want to learn more. They will go away with a completely different opinion."
