Head coach Sherwood was relieved of his duties by the London club on Tuesday, having only been appointed as Andre Villas-Boas' successor in December.
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Sherwood was the 12th top-flight boss to lose his job this season and Wenger, the longest serving manager in the country, believes clubs are acting too hastily.
Arsenal manager Wenger said: "For me if it's a Tottenham manager or any other manager it's always sad news when somebody loses his job,
"The only thing that looks a bit worrying is that the speed of the rotation level in the Premier League gets quicker and quicker. That's not a very good sign for the Premier League.
"I believe that technical stability is important for the development of the game,
"At the moment people think a lot about that so we accept in our job as well that if directors are not happy, or owners are not happy with us, that we can lose the job.
"But technical stability is important."
Wenger moved to Arsenal in 1996 and last month took charge of his 1,000th match at the club.