Allardyce stepped down as England manager following allegations of malpractice stemming from a Daily Telegraph sting which revealed he had negotiated a £400,000 to give information regarding the circumventing of the FA's transfer rules.
The scandal has shocked the football community in he UK but Wenger was taking a more diplomatic approach when asked on his thoughts regarding the issue.
"I was focused on the game tonight so I didn't see too much about it," Wenger said after his side's 2-0 win over FC Basel in the Champions League.
"It was a huge surprise what happened to Sam Allardyce.
"Who could have predicted that 48 hours ago? Nobody.
"The game's always full of surprises."