Wenger, whose side host Palace on the opening day of the Premier League season on Saturday evening, said: "It was a complete surprise to me. He did a remarkable job last season.
“It was a miracle what he did. I don’t know why he left but it took me by surprise. What sort of consequence that will have on Palace on Saturday, I don’t know.
”I was with him at a managers’ meeting on Monday and saw no signs of his departure coming.”
Of the match, which will be shown live on Sky Sports, the Frenchman is confident of being able to call on the services of defender Laurent Koscielny.
"He should be back, he had an Achilles problem and will have his final test today but should be available," he said.
“The Germans who played in the World Cup finals are not ready yet. They are continuing their programme of preparation. The earliest they can be considered again is Everton next weekend.
“We are positive and confident ahead of the game. We need to put pace and dynamic into our game, but Palace are an uncomfortable team for everybody.”
Wenger said the mood in the camp has been "serene" ahead of the start of the season and added he might add to his squad before the end of August.
"Will I still do something? I don't rule it out. Our finances are still healthy, but we want to go through in the Champions League group stages to do that," he said.
"Number-wise we are maybe a little short in some areas of the game but the depth of the squad is very good."
"A lot can happen until August 31, that's why I always said that it will be better that the transfer window closes before you play the first game, it would be much easier for everybody."
Watch Arsenal entertain Crystal Palace in the season-opener at the Emirates Stadium live on Sky Sports 1 HD, from 4.45pm on Saturday evening.