The 71-year-old publicly announced his decision to end his management career last Wednesday but Wenger believes there had been early signs that it was the Scot's final campaign at Old Trafford.
|MANCHESTER UNITED LATEST
|17/1||Manchester United are 17/1 with BetVictor to beat West Brom 3-0 on Sunday
"I detected a few signs through the season, there was already one of them before the season started, that it could be his final year.
“You have to respect his decision. It is sad because it is the end of a remarkable career. He got a lot of praise that he deserves.
“After 26 years, he just won the championship, he knows it will be more difficult even for Man United to have that consistency now because there are so many teams who have financial power."
When asked if Sir Alex's retirement was discussed last summer when the two clubs were negotiating over Robin van Persie, Wenger replied: "I wouldn't like to come back on that. I will let you know one day."
Wenger believes new Red Devils boss David Moyes faces a big challenge to maintain United's consistency, while also hinting that Sir Alex may struggle to adapt to life away from football.
“Even for Manchester United it will be difficult to have the consistency there that they had until now," Wenger continued.
“There is a double challenge now, the first is for Manchester United to replace a guy of that stature, and the second challenge for Alex Ferguson to have a life as passionate and as interesting as the life he had until now, but you have to respect the decision.
"He [Ferguson] is luckier than me because he likes horses, he likes golf, so he can certainly have an interesting life again.
"But of course when you have been such a long time involved in every [game] our job is always looking forward to the next game, so you are always motivated by that. At the start it is difficult to miss that."