Lampard joined MLS side New York City following his release by Chelsea this summer before making a return to the top flight with Manchester City on loan.
City, who co-own the new MLS franchise with baseball side the New York Yankees, have reaped the rewards of the deal so far, with Lampard netting a crucial equaliser against his former club to rescue a draw in the league before scoring twice more in the 7-0 League Cup demolition of Sheffield Wednesday.
His good form has led to suggestions that City could look to extend his stay in Manchester, but Wenger has questioned the motives behind the move.
"You always have two judgements, one is moral and one is legal and it just depends what you consider. I think 'is it legal?' You have to respect it after that and the player has to deal with his decisions," Wenger told reporters.
"I respect the fact he wants to play at the top level and he maybe didn't have that opportunity any more at Chelsea. I don't really know [what] is behind all that. Was it always his plan to go to New York and go to Man City? I am not sure.
"I genuinely think he wanted to go abroad and to New York, and suddenly was offered this solution to come back to the Premier League and he took it. He could explain that much better than I do, I don't know what is behind that."
New York City, who will not be able to play until the new MLS season gets underway in March 2015, are reportedly planning to oppose any extension to the loan.