The Gunners confirmed yesterday that they had agreed a deal with the La Liga club for the sale of the 24-year-old.
There have been suggestions that Wenger had become frustrated with Song because of the player's poor punctuality and defensive discipline, however the Frenchman refuses to be drawn on the subject.
"There are different reasons," Wenger told The Mirror. "I don't want to come out with that now, but it happened. Every case is individual and maybe one day I will explain everything. We are left with that decision and now we have to face it and deal with it in the correct way.
"Hopefully we can. Possibly we will bring in a player, if not we have plenty of midfielders. We make the players here. All that have left were made here or made a name here or came here very young. Fabregas, Clichy, Adebayor, Henry, Nasri, all of them. Song came at 17. He had a lot to do but he did it.
"I believe part of our club is to influence people's lives in a positive way. You would prefer to influence it in a positive way for yourself but it does not always happen."
Song made 138 Premier League appearances for Arsenal, scoring seven goals.