The Frenchman ended his seven-year stint with the Gunners in June and joined City on a Bosman after failing to agree a new contract at the Emirates Stadium.
The move seemed to irk Wenger, who suggested that Sagna agreed his move to the Citizens before he was permitted to negotiate with the Premier League champions.
However, the 31-year-old defender insists that he is "very professional" and remains puzzled over his former manager's jibes.
"I know exactly what happened - everyone knows," he told The Mirror. "I am not a tricky person. I am very professional, so I don't want to comment on it.
"All I will say is that I was at Arsenal for a number of years. I have always been straight. I have always given the maximum.
"Even when I came back from injury and was not fully fit, I always played. I don't know why he said this."
Sagna made 284 Arsenal appearances since arriving in North London from Auxerre in 2007.