Chelsea have confirmed the 25-year-old forward will sign for Shanghai SIPG when the transfer window opens next month.
Oscar will receive wages of around £400,000-a-week in the Chinese Super League and others will follow him in the January window.
China has yet to attract a player at the very top of the world game – but Wenger believes the riches on offer there could become a problem for Premier League clubs.
“Oscar moves because he doesn’t play in the Premier League”
Arsenal manager Arsene Wenger
The Arsenal boss said: “It’s a surprise. It’s a distortion. When you are a player you want to combine the quality of the competition with the quality of you wages. And the quantity!
“It is a surprise to me. But when I was in Japan there were many Brazilian players over there and the competition was well organised and of top quality.
“Oscar moves because he doesn’t play in the Premier League.”
Former Manchester United and Manchester City star Carlos Tevez is also heading to China to join Shanghai Shenhua, on wages of £615,000 a week.
And such deals make it harder for clubs like Arsenal to get players like Alexis Sanchez and Mesut Ozil to accept a more realistic salary in contract talks.
Wenger said: “They invest a lot of money. It could become a problem for the future of the Premier League.”