The Gunners also sold Robin van Persie to Manchester United, and while Sagna was aware that the Dutch striker would leave the club, he could not justify why Song was allowed to exit the Emirates Stadium.
Sagna told L'Equipe: "Everyone knew Robin was leaving, but Alex? He's 24. He had three years on contract. I still don't understand. He's a huge loss.
"When your two best players go, you ask questions. Fans come up to you in the street and I understand their frustration. Like them, I don't understand everything."
The 29-year-old is currently recovering from a broken leg sustained in April.