Robin van Persie and Alex Song both left the Gunners during the summer, for Manchester United and Barcelona respectively, just a year after Cesc Fabregas, Gael Clichy and Samir Nasri had departed.
Sagna was particularly disappointed to see Song leave and admitted that, like the club's supporters, he did not always understand decisions made by the team's management.
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"Everyone knew Robin was leaving," Sagna told L'Equipe.
"But Alex? He's 24. He had three years on contract. I still don't understand. He's a huge loss.
"When your two best players go, you ask questions. Fans come up to you in the street and I understand their frustration. Like them, I don't understand everything."
Sagna went on to admit that he aspired to achieve what Nasri and Clichy had by winning the Premier League title with Manchester City last season.
"I'm the only starting player left from 2007," he continued.
"In May, I watched City's parade on TV. I saw Samir and Gael lift the trophy. I want that."
The France defender will enter the final year of his contract in the 2013-14 season and when asked if Arsenal had spoken to him about extending his current deal he replied: "No, nobody."