The 35-year-old joined the club back in 2007 and spent seven seasons in north London, making 213 appearances for the Gunners before his move to Manchester City in 2014 - which he later conceded made sense amid the negative atmosphere surrounding the club at the time.
Sagna now plays his football for Montreal Impact in MLS and called time on his international career back in 2016 after making 65 appearances for France.
Speaking to French media outlet Foot Mercato, Sagna insisted that he expected Wenger's departure from the club after the supporters turned on him.
"Looking at how the fans had turned on him, what came next was logical. I don't think he could have continued in that context. It's quite a shame. Leaving like that after all he brought to the club. He changed the image of English football.
The Frenchman continued by launching a scathing attacking on the English media, claiming Wenger was always criticised by them and that nothing was ever good enough for the press.
"Not everything can always go perfectly. He had good moments with Arenal. Always tried to keep a certain ethic in order to play and help develop youngsters, especially English. He's criticised when he's trying to help football.
"English people complain about always having more foreign players, to not have enough space for local talent, but when a manager, who's also French, does it, gives English players a chance, he's criticised by the press."