The former Barcelona manager will replace Jupp Heynckes at the Allianz Arena in the summer, and Wenger claims that the 41-year-old had enquired about the Premier League with a view to moving there in the future.
The Frenchman told reporters: "He asked me a few times and he told me a few times that he would like to come to England so I'm a bit surprised that he has chosen to go to Germany.
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"It's defendable what he has done, tomorrow's football will be played in Germany, certainly."
Guardiola had been heavily linked with a move to Chelsea, with Roman Abramovich hiring Rafa Benitez as interim boss at Stamford Bridge ahead of an attempt to bring Guardiola to west London in the summer.
Wenger admits he felt sympathetic towards Benitez's situation at the Blues, but insists he will lose all sympathy for the Spaniard when the sides meet on Sunday.
"I feel sympathy for every manager until the day I play against him," he added. "Strangely the sympathy goes and then comes back again after the game, not always straight after the game but some time later.
"We are all in the same position. You know we are in a fragile job and confidence is very important, but it's a job where first you have to take care of your own team.
"I think it's always more intense when the two teams fight for the championship, at the moment the two teams don't so for the media it's a bit less intense.
"For us, it's a massive game."