The Frenchman, who still had one season remaining on his contract, has called time on his 22-year stint with the Gunners.
Wenger broke the news to his players and staff at Arsenals training ground on Friday morning, and Wilshere admits he believed the 68-year-old would be staying on for another season.
We havent really had much time to sit down and talk about it, Wilshere told Arsenals official website.
I think everyone was just a little bit shocked. Its the first we heard about it, we didnt see it coming because as I said, he had another year left on his contract.
Its not really something that you talk about as players.
You just focus on the next game, you dont worry about whos the manager and whats going to happen with the manager.
Of course, you read stuff online and in the media but you dont really pay attention to that, so it was a bit of a shock. Now, all we can do is put our focus into winning something.
Wilshere also admits hes disappointed that Wenger will leave Arsenal after a poor campaign in the Premier League.
I was shocked. I didnt see it coming. I know he had another year left on his contract and I thought that he would do it, but unfortunately hes not. Im sad, said the midfielder.
Ever since Ive known about Arsenal, Arsene has been there. Im sad, Im a little bit disappointed that we couldnt give him the season he wanted, but weve still got a chance to win something so he can leave on a high.
Hes been great for me throughout my career, gave me my chance from a young age, stuck with me, showed his faith in me and helped me to develop as a player.
I owe him a lot in his career and I want to give him the send-off he deserves. Im sure the fans do. I know the rest of the players do and we want to win something for him now.
More: Arsenal FC