"It is basically sad because I feel Mourinho is a manager of quality," Wenger told Arsenal's official website.
"I am a great believer in technical stability and therefore I don't think it is good news for football."
Even though both managers had an irritable relationship during Mourinho's three-year reign with the Blues, Wenger had time to praise the departing Portuguese.
"We didn't get on the best, but recently it has become better, but that does not hide the fact I respected what he did and the quality of his work.
"Of course he is a great manager. He arrived when Chelsea were on the way up; they had a good side already and he did something more and made them winners.
"He deserves a lot of credit for that because it is never easy to win and in England it is maybe more difficult."
While other Premiership managers including Manchester United's Alex Ferguson and Sunderland's Roy Keane have spoken high of the Portuguese, Liverpool boss Rafa Benitez refused to patch things up with Mourinho.
"You know my relationship with him, it is better that I do not say anything," said the Spaniard ahead of his side's Saturday clash with Birmingham. "At the moment I am more worried about Birmingham boss Steve Bruce."
"It is not a good idea for a manager to talk about other clubs in this situation.
"I would prefer not to say anything. What is clear is that Chelsea still have a good team with a lot of very good players."