Chelsea were heavily linked with the Spaniard, who delivered 14 trophies in a remarkable four-year reign at the Nou Camp before standing down last summer.
But Guardiola announced on Wednesday he had signed a three-year deal to replace the retiring Jupp Heynckes at Bayern Munich.
Wenger was surprised when he heard the news because Guardiola had indicated to him that he was keen on a move to English football.
"He asked me a few times and told me a few times he would like to come to England, so I am bit surprised he has chosen to go to Germany," Wenger said.
"Bayern Munich are an interesting club, Germany is an interesting league, well managed so it is defendable what he has done.
"I stayed here for such a long time because I feel this is the most interesting league in the world. I always encouraged him to come to England."
Wigan manager Roberto Martinez believes Guardiola could have changed the way football is played in England if he had moved to the Premier League.
"It would have been great to see Pep Guardiola in the Premier League because his possessional concepts are infectious and they would have changed the football, even at grass roots," he said.
"I think it is positive news that Pep Guardiola will be back in football.
"It is a shame he has been away. I think he is going to bring incredible possessional concepts to the Bundesliga and German football, and that is going to be a great threat to Barcelona and any club in the Premier League competing in the Champions League."
Martinez suggested Guardiola's move to Bayern could be a stepping stone to a job in England - but Wenger understood the appeal of moving to the Bundesliga.
"It is not a backward step," he said.
"In Germany, maybe along with Spain they are a country with the best young players.
"If you look at the results of Germany in the Under-17s, U18s and U19s, in the last three seasons, they beat everybody.
"It is the football of tomorrow. Tomorrow's football will be played in Germany, certainly."
As well as Chelsea, Guardiola had been linked with Manchester United, Manchester City, AC Milan, Roma and Paris St Germain - some of the richest clubs in Europe.
But Bayern chairman Karl-Heinz Rummenigge said Guardiola's decision had not been influenced by money.
"If it were purely down to money, then Bayern would have had no chance," he said.
"I think he was impressed with our overall concept.
"Of course he'll be earning a few euros here too, but if finances had been the defining factor, then he would not be coming here on July 1.
"He was pleased with the way we have established a financial independence." Nevertheless, Bayern are Germany's richest football club. They broke the Bundesliga transfer record by splashing out 40 million euros on Javi Martinez last August.
And Rummenigge has not ruled out big name signings following Guardiola's arrival in the summer.
"Of course he is a coach with great charisma and there are players who would love to work with a coach like him," Rummenigge said at a press conference in Munich.
Guardiola has spent the last six months on sabbatical and he has revealed how uncomfortable he found all the speculation over his future.
Speaking to FIFA.com in an interview conducted last week and published today, he said: "It made me feel bad for the coaches who were in the clubs at the time."
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