"[I'm] very surprised, I have been with Mikael basically all the time I've been in the first team squad," Brown told setantasports.com after scoring England's first goal in a 2-2 draw with Czech Republic on Wednesday night.
"He is a great professional and it is sad to see him go. But he has not been playing many games at the moment and he wants to play, so all the best to him.
"If he wants to go I'm sure it will be good for him, as long as he is happy with it and plays games.
"It is [rare to move from Manchester United to Arsenal], but if you are going to go anywhere why not go to a good team and I'm sure that's what Mikael will be thinking."