The former Chelsea man will return to England on loan until New York City FC's season begins and the Frenchman feels the Premier league champions are setting up feeder clubs
City was only able to name a 21-man squad for the Champions League and was also fined and restricted in its transfer spending as European football's governing body deemed the club to have breached FFP earlier in 2014.
MORE: Biggest summer transfers | Soccer's beautiful fans
Manager Manuel Pellegrini confirmed on Saturday that former the Chelsea midfielder will join the Premier League champions on loan until January from City's Major League Soccer franchise, New York City FC.
NYCFC has also loaned out new signing David Villa to Melbourne City – which is owned by the English club as well – and Wenger has raised concerns after learning of Lampard's switch back to England.
The Arsenal boss told the press: "It is a surprise.
"After the statements we hear, it is a surprise but it looks like all of these City clubs will feed the main club, Man City. I heard they want to buy five clubs all over the world.
"I don't know the rules well enough but they brought a franchise for $100 million to play in the States next season.
"At the moment the players they sign cannot play until next year so they will register them in the clubs where they put them and they can get out on loan.
"Is it a way to get around the fair play? I don't know. We are happy to dedicate the money to just run our club. There is not a lot of surplus to run other clubs."