The Frenchman announced on Friday morning that he will stand down as Gunners manager at the end of the season after 22 years in the job.
According to The Sun, Wenger only informed the Arsenal squad he was going minutes before the news broke in a brief meeting at the club's London Colney training complex.
The players were said to be stunned by the 68-year-old's announcement.
Wenger has been in charge of the club since October 1996 and is their most successful manager ever.
He signed a new two-year contract last summer but, amid growing fan unrest, took the decision to end his reign this summer.