Vieira, 30, who has just helped Inter Milan clinch the Serie A title, played for Wenger for nine years at Arsenal and won three league titles and four FA Cups.
He told Feelfootball.com: "It was a big shock to hear that David was going, I didn't really believe it.
"I said, 'That's not possible', I had to ask people if it was true. He was there a long time and it is difficult to know how he left the club so quickly.
"I believe you need more than one man to make a club, but Mr Dein and Mr Wenger were making all the decisions and one of them is not there any more so you can ask a few questions about the future of the club, and Mr Wenger's long-term future, certainly.
"They started together and they have been together a long time and I can't see Arsene finishing the job by himself.
"Now, if he finishes for himself or if he leaves I just don't know."
Dein quit Arsenal on April 18 because of "irreconcilable differences" with board colleagues after American businessman Stan Kroenke bought shares in the north London club.
Vieira left Arsenal in 2005 for Juventus before joining Inter last summer after Juve's demotion to Serie B for their part in a match-fixing scandal.
He said he had no plans to return to England.
"I don't see myself going back to England. I am getting old. I am happy where I am and I will stay here for the end of my career," he added.
He also said Arsenal, who have had a disappointing season by their own high standards, will bounce back.
"Arsenal are developing good young players and I feel the future is very, very bright for them," he said.
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