The Spaniard is yet to finalise the move, but widespread reports have claimed that the 25-year-old will seal a £37m switch at some point today.
According to The Express, Wenger said: "Yes I am [surprised] because Juan Mata is a great player, and they are selling a great player to a direct opponent."
The Frenchman also believes that it is unfair for clubs to be allowed to sell players in January once they have already played one another twice in the league, which could be seen as a tactical move.
Wenger added: "Some teams have already played twice against one opponent and some others not and I think if you want to respect the fairness for everybody, that should not happen."
When asked if he thought that Chelsea's decision to sell Mata was tactical, Wenger said: "I wouldn't go as far as that, I just think you would want that everybody is at the same level. I can understand completely what Chelsea are doing, it's within the rules but maybe the rules should be adapted for fairness."
Mata, who was named Chelsea's player of the year last season, has struggled for first-team action under manager Jose Mourinho, who said only last week that he did not want to sell the midfielder.