Ferguson, 71, announced last week he was to retire after more than 26 years at the helm at Old Trafford, where he will be succeeded by Everton boss David Moyes.
Wenger and Ferguson have played out many duels over the years, most notably when their two clubs were challenging head to head for the Premier League title in the late 1990s and early 2000s.
Wenger was not surprised Ferguson decided now was the right time to stand down.
"I told my staff a long time ago I think that it will be Alex Ferguson's last year, so I was not completely surprised," said Wenger, who had a personal conversation with Ferguson last summer as the Scot looked to push through Robin van Persie's £24million switch to Old Trafford.
"I detected a few signs through the season, there was already one of them before the season started, that it could be his final year.
"You have to respect his decision. It is sad because it is the end of a remarkable career. He got a lot of praise that he deserves.
"After 26 years, he just won the championship, he knows it will be more difficult even for Man United to have that consistency now because there are so many teams who have financial power.
"Even for Man United it will be difficult to have the consistency there that they had until now.
"There is a double challenge now, the first is for Manchester United to replace a guy of that stature, and the second challenge for Alex Ferguson to have a life as passionate and as interesting as the life he had until now, but you have to respect the decision."
Wenger will next season become the longest-serving manager in the country after taking charge at the Gunners in 1996, but has yet to commit his long-term future past the end of next season.
The 63-year-old, whose side have not won a trophy since the 2005 FA Cup and face a battle to secure a top-four finish ahead of Tottenham, said: "I have the luck to be at this club for a long time because I have the faith of my directors and I am grateful for that.
"I try to pay that faith back by having complete commitment and dedication and to give my best of course."
Wenger could well be facing three different managers in the top sides next season, should Roberto Mancini leave Manchester City and Jose Mourinho return to Chelsea.
The French coach, though, insists chopping and changing coaches is not necessarily a recipe for success.
"I am against (short-termism) because I believe stability is needed inside the clubs for people who represent the values that a club wants to carry though," he said.
"Inside the club it is important to have people who represent these values.
The manager can be one of these people if he has been there a long time."
Wenger feels the future is bright for his Arsenal side.
"We have rebuilt the team and since January we have certainly done very well if you look at the number of points we have taken compared to the other teams," he said.
"We have created a good basis and that stability can help us start strongly next season."