Widespread reports on Thursday suggested that Pulis was set to leave Selhurst Park, after the manager allegedly fell out with the board over the club's transfer policy.
An official announcement was made on Friday and with Palace set to visit Arsenal on Saturday, Wenger admits the news came as a shock to him, after Pulis turned Palace's season around spectacularly last season, leading them to 11th place from what seemed certain relegation when he arrived in November.
"Palace are an uncomfortable team for everybody," he said.
"It was a complete surprise to me. Pulis has done a remarkable job. It was a miracle. I don't know why he left.
"I have never come across this before [Manager of the Year losing job].
"I saw Tony Pulis at the managers' meeting on Monday and there was no indication."
Wenger confirmed that Laurent Koscielny would be available for the clash, but that the game had come too soon for the three members of Germany's World Cup-winning squad - Per Mertesacker, Mesut Ozil and Lukas Podolski.
"We are positive and confident but the performance tomorrow will depend on how we start and how we concentrate," he said.
"The best way to achieve a fast start is take it game by game."
Wenger, who insisted he wanted to keep Costa Rica international Joel Campbell, stated he was happy with the club's transfer activity, and felt they could mount another concerted challenge for the Premier League title, after leading for much of last season before falling away in February and March.
"I'm happy with all the players I have signed," he said. "They have integrated with the team very well.
"We've had a serene environment in pre-season but what is important is how we perform at 5.30 on Saturday.
"Alexis Sanchez has all the ingredients to be a Premier League player. He is hungry to adapt.
"The favourites [for the title] are Chelsea, Liverpool, Man United, Man City and us. I believe we have a chance because we were top for a long time but we have to take more points from the top teams."
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