Vieira, 30, who has just helped Inter Milan [ Images ] 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 [ Images ] club.
Vieira left Arsenal in 2005 for Juventus [ Images ] 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 [ Images ].
"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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