The Gunners boss is annoyed that the Spaniard will not be able to play against the Blues this season, but will be free to play against other title rivals for the Red Devils.
United has prepared a temporary helipad at Carrington as the Spaniard flies in to complete a 37 million pound club record transfer on Thursday, but Wenger believes the timing is wrong.
"It opens again a little bit the opportunity of this transfer market because Chelsea had already played twice against Man United so they don't play again," he told reporters. "They could have sold him last week but it opens at least the opportunity [to question] the dates of this transfer window.
"Some teams have already played twice against one opponent and some others not. I think if you want to respect the fairness for everybody exactly the same, that should not happen. I just think you would want that everybody is on the same level. Chelsea do not make the rules but maybe the rules should be a bit more adapted to more fairness."
Wenger, who sold Robin van Persie to Manchester United in 2012, is puzzled by the Mata move.
"I am surprised because Juan Mata is a great player and Chelsea sell a great player to a direct opponent," he continued.
Wenger also backed David Moyes to ride out United's rough patch, after the club was knocked out of the Capital One Cup semifinals by Sunderland on Thursday.
"You have to survive massive disappointments and keep your belief high in what you do because to win is easy for everybody," he added. "How to live with defeat, that is what managers are about, and David Moyes is strong enough. For me he deals with the situation very well.
"They go through a difficult moment in their season but they can still come back. They are in a strong position in the Champions League and they just bought a great player, so Man United has still to be considered a threat."