The France fullback is currently recovering from a broken leg and could be in contention to return by the start of next month.
Sagna believes seeing the Gunners lose two of their key men in quick succession before the start of the new campaign makes no sense.
Speaking to L'Equipe, Sagna said: "Everyone was expecting Robin Van Persie to leave, but Alex Song, that was a surprise. I don't understand that at all. It is a big loss for the club.
"When you see two of the best players from last season leave, you ask a lot of questions. I understand why the supporters are nervous."
Sagna, 29, signed from Auxerre four years ago, and in that time has seen several of his teammates leave -- including duo Gael Clichy and Samir Nasri, who went on to win the Premier League title with Manchester City last season.
He continued: "I am the only starting player left from 2007. In May, I watched City's parade on TV. I saw Samir and Gael lift the trophy. I want that (feeling)."
The France defender will be heading into the final year of his current deal at the end of the season, and maintains as yet there has been no talk over an extension.
"For the moment, I want to play with Arsenal, and find my level again," he said.
Despite the loss of van Persie, who netted a hat trick for Manchester United at Southampton last weekend, and Song, who joined Barcelona, Arsenal has opened the new domestic campaign brightly.
Captain Thomas Vermaelen believes new assistant manager Steve Bould has made a big impact on the Gunners rearguard.
Speaking to Sky Sports News, the Belgian said: "He has a lot of experience at a high level with Arsenal. We work a lot on our defensive play and you can see that with our three clean sheets."
Vermaelen is away on international duty with Belgium ahead of the World Cup qualifiers with Wales and Croatia, but played down concerns over a minor ankle problem, which forced him off in the closing stages at Anfield.
Meanwhile, midfielder Andrei Arshavin has been linked with a move back to Russia with Dynamo Moscow ahead of their transfer deadline, but is understood to be determined to force his way into the Arsenal first team again.