Midfielder Samir Nasri, 24, and full-back Gael Clichy, 26, followed striker Emmanuel Adebayor and centre-half Kolo Toure from Emirates Stadium to join the Blues, who have set the pace at the top of the Barclays Premier League.
After taking a chance to bring all of those players through with the Gunners, Wenger admits there will always be a sense of frustration at potential lost.
"At the end of the day when you sell a player, you cannot complain after because at some stage you say 'yes we let him go' and you have to do the right thing for the club, but it is always painful to lose players at 23 or 24 years old," he said.
"The financial difference between us and teams like Manchester City has become too big to hope to keep the players for eight, nine or 10 years.
"Okay, we lost Thierry Henry, Patrick Vieira, other players before, but they had played for eight or nine years at the club.
"It is the first time now that we lose players at an age where they start to produce, like [Cesc] Fabregas and Nasri, who were both 24 years old. That's where you start to become a football player."
Wenger added: "You need to be brave as well to put a player in at 18 years of age, and you need to make room for them, which means you not only need to stand up for the players you put in, but as well you have to kick somebody out."
While Wenger may be looking to the future with a young squad, the Arsenal manager maintains he has not given serious thought to a possible return for former captain Henry, who has been training at the club following the end of the Major League Soccer campaign with the New York Red Bulls.
"I haven't even investigated that. I cannot tell you even if there is a chance because I haven't even made any approach, nor to him nor his club," said Wenger, who played down reports he would move for FC Koln's German striker Lukas Podolski in January.
"I do not always master all my thoughts, so [I guess] it has to come through my brain at some stage - but I haven't been concrete on the case."
Fired by the goals of in-form captain Robin van Persie, Arsenal head to City on the back of seven wins from the last eight league games which have lifted them back up to within striking distance of the top four.
"There is a good, good spirit there. I am sure we will give absolutely 100%," said Wenger.
"The game on Sunday will show how far we can go. I am sure this group will fight to go as far as they can."