The West Bromwich Albion striker attempted to push through a move to QPR without gaining permission from his club.
"That looked quite strange. I couldn't believe the player wasn't there without having being sent by his club," said Wenger.
"But I wouldn't put the blame on Odemwingie because sometimes the players are told wrong information by their environment.
"He looks quite a nice guy but he looked a bit lost there. I don't know what people around him have told him. On whether he has known a similar situation:
"Personally no, because we always take guarantees from the club who sells the player. You need to ask for permission of the club who is selling to get the player to travel.
"You cannot do it without it. We have so many strange things, if you don't check your phone calls today, you can be in some very surprising situations.
"Some people, it has happened to us, tell you they represent a club and they give the word you can talk to the player, but they are not at all the people you expect them to be. It is difficult."