The ex-Watford, Aston Villa and Wolverhampton Wanderers manager passed away from a suspected heart attack in the early hours of Thursday morning, prompting an outpouring of grief and tributes from across the footballing world.
"It is very sad," Wenger said at his weekly press conference. "I was absolutely surprised because I never heard that he was sick.
"We were close at one stage because he was manager at Watford, and I had lunch with him once or twice. He was a man who had a big passion, was brave, competent, and absolutely totally focused on the game.
"I could feel as well that he suffered a lot as manager of England, and we never know how much the violence of this job has an [effect] on our health. I must say it is a very sad day for English football."
Taylor is expected to be honoured this weekend with tributes ahead of games in the Premier League and EFL.