Sagna, one of the most experienced members of the Arsenal squad, having played 153 times in the Premier League following his arrival in 2007, says he fully anticipated the departure of Robin van Persie to Manchester United.
But Arsenal's readiness to allow Song to move to Barcelona for a fee of £15 million has left the France international confused.
"At Arsenal, you’re back from holidays, you prepare and you see two of the players leave when competition returns," Sagna told L'Equipe. "That’s the way it is since I am here. I’m used to it now.
"Van Persie, I expected it. All of us expected it. It was 'obvious', if I shall put it in English.
"But Alex Song for Barcelona… What a surprise. He is 24, he had three years left. I still can’t understand. It is a huge loss for the club."
Sagna has two years remaining on his own contract and, after admitting he felt jealous seeing former team-mates Gael Clichy and Samir Nasri win the Premier League last season, the defender said Arsenal have not made any effort to secure his future.
When asked if the club had approached him regarding a new contract, Sagna replied: "No. Nothing and nobody."
When pressed if he wanted to leave the club as well, Sagna said: "I just want to play again, be good on the pitch with Arsenal and then we will see."