Mata is expected to undergo a medical at United ahead of a potential club record move to Old Trafford.
A source close to negotiations has told Press Association Sport that a deal is "close" to being completed and Mata could be in the United squad to face Cardiff next Tuesday.
Mata, 25, has fallen out of favour at Chelsea this season but Wenger is still amazed he could be allowed to join a traditional title rival.
Asked if he was surprised, Wenger said: "Yes I am because Juan Mata is a great player and they sell a great player to a direct opponent."
Wenger does note, however, the timing of the move with Mata now unable to affect Chelsea directly this season as they have already played United twice in the Barclays Premier League.
Chelsea beat the champions 3-1 at Stamford Bridge last weekend, a result that left United seventh in the table.
Chelsea could still come up against United in the Champions League but Mata would be ineligible.
With the Premier League fixture list in mind, Wenger is not sure the January transfer window is a fair concept.
The Gunners boss said: "Chelsea had already played twice against Man United so they don't play again any more.
"They could have sold him last week but it opens up again questions about 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."
It has been suggested that the possible Mata sale could be a move by Chelsea boss Jose Mourinho to damage other title rivals, as United still have to play Arsenal, Manchester City and Liverpool.
But Wenger said: "I wouldn't go as far as that. I just think you would want everybody on the same level.
"I can understand completely what Chelsea are doing. They do not make the rules, but maybe the rules should be a bit more adapted for more fairness."
United manager David Moyes did not discuss the Mata situation when asked about it after his side's Capital One Cup semi-final loss to Sunderland.
United were beaten on penalties at Old Trafford after winning the second leg 2-1 after extra time.
Bringing in a high-profile new signing could give the club a lift after what has been a difficult spell but Wenger expects Moyes to ride through the storm.
Wenger said: "I don't want to give advice to David Moyes.
"Many young managers come and ask me for some advice when they start their career.
"Part of that, I tell them, is that you have to survive massive disappointments and keep your belief high in what you do because to win is easy for everybody.
"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 and are in a strong position in the Champions League, and have just bought a great player.
"So, Man United have still to be considered a threat."