Welbeck was deemed surplus to requirements at Old Trafford but United manager Louis van Gaal raised eyebrows when he allowed the Manchester-born striker to join Arsenal in a stunning deadline-day move.
Ex-United duo Rio Ferdinand and Paul Scholes have since questioned United's willingness to send Welbeck to a Premier League rival.
And Neville - winner of eight league titles with United - is another struggling to comprehend the club's decision to help bolster Arsenal's forward line, having watched the 23-year-old score twice in England's Euro 2016 qualifying win in Switzerland.
"I have to admit I thought the Danny Welbeck sale was a strange one," Neville told talkSPORT.
"I can't work it out. I know I worked with him last week, but it's odd. Of all the prices paid this summer, there are right-backs and left-backs galore who have been bought for £14 million, £15 million, £16 million. How have they got him for £16 million? I can't work it out.
"It has helped out a competitor because Arsenal are the team they are fighting. I am struggling to work out the logic. I can't understand it. It's odd in two or three ways."
While Welbeck departed Manchester, Van Gaal managed to secure the services of Colombia star Radamel Falcao on loan from Monaco in a stunning deadline-day swoop.
Falcao's arrival added to the big-money signings of Angel Di Maria, Luke Shaw, Ander Herrera, Marcos Rojo and Daley Blind, which totalled more than £150 million.
And Neville admitted he is surprised by United's transfer activity, with Van Gaal now facing a selection headache.
"It is not the way I would expect United to go about their business, I thought it would be more controlled," Neville said.
"Falcao tipped them over the edge. It surprised and shocked everyone. How he gets them in that team I don't know. How they get [Wayne] Rooney, Di Maria, Robin van Persie, Falcao, Herrera, [Adnan] Januzaj and [Juan] Mata into that team I don’t know.
"In one sense I am excited because they have signed world-class players. People jumped on the bandwagon last year and said they wouldn’t attract players. But they have a massive commercial operation.
"They have overpaid. There is no doubt about that but people will still go there. Now Louis van Gaal has to mould them into the team. He asked for three months but I doubt he expected to see what’s happened at the start of the season. Pre-season probably lulled him into a false sense of security."
