The former Manchester United and England midfielder had been training with Arsenal after leaving LA Galaxy in November but opted to join the rich French outfit in the most eye-catching deadline day deal.
Ferguson was not surprised at Beckham spurning numerous offers to return to the Premier League, having previously said he could never play for an English club other than United.
However, the Scot did not expect him to turn up in the French capital.
"I was surprised. I didn't see that," Ferguson told MUTV.
"I didn't think he would join an English club. He always said he wouldn't after his career with United and he was true to his word.
"But I don't think anyone saw PSG coming."
Beckham will help focus the eyes of the world on French football, Arsenal boss Arsene Wenger claimed.
PSG's new recruit had been training with the Gunners before Thursday's move was announced.
Wenger said the 37-year-old would be good for French football.
"Beckham is a world brand and the eyes will be on him, and on PSG, therefore also on the French league while he is there," said Arsenal's French manager.
"I don't know if he had offers from all around the world, but PSG is not a bad choice because they are a very ambitious club, who have a lot of potential.
"They look to extend their reputation at the moment, and Beckham certainly is a good part in that."
Wenger joked that Beckham had Arsenal's training sessions to thank for his new club - but warned that the player was still some way short of being match fit.
He added: "It just shows you how efficient we are with our training sessions. He came here to practise once, and straight away he was bought by Paris St Germain.
"But I believe he has to go through physical preparation and it will take him a few weeks to be completely match fit."
Beckham will not join up with PSG until February 11, after the international break.
He has signed a five-month contract initially.
Other than a couple of loan deals for United's young players being extended to the end of the season, Ferguson and the Red Devils were bystanders on Thursday as the mad scramble to sign players gathered pace.
And it is clear the veteran Scottish boss is not a fan.
"It is an absolute shambles," he said.
Referring to television coverage of the final hours of the window, Ferguson said: "There is a young reporter being mobbed by 30 kids. It is humiliation.
"I am sure all the managers are glad it is all over."
The most controversial incident occurred in a deal that did not happen as West Brom's Peter Odemwingie drove to QPR in an apparent attempt to force through a move, only to find his entrance to Loftus Road barred and his hopes eventually fade.
Having spoken about the thrill of joining Harry Redknapp's squad, Odemwingie now has endured the embarrassment of returning to the Baggies fold.
And Ferguson is wincing at the whole sorry saga.
"I don't know the full circumstances, but I don't know why he drove there," said Ferguson.
"Did he have permission? Did he think the deal was done?
"What a wasted journey, anyway. Amazing."