The Chelsea play-maker agreed terms with Shanghai SIPG on Friday in a deal reported to be worth £52million (R895-million), with wages in the region of £400,000 (R6.9-million) a week.
The 25-year-old Brazil international has struggled for game time under Antonio Conte at the Blues this season, and decided to swap the English top-flight for the burgeoning Chinese league.
Speaking on Friday, the Arsenal boss said that while he understands Oscar's decision to leave Chelsea, he fears that these kinds of big-money moves could have an adverse effect on the Premier League.
He said: "Yes, it's a surprise, it's a distortion. Basically when you're a football player you want to combine the quality of the competition with the quantity of your wages.
He added: "It's a surprise to me, but when I was in Japan, we had many Brazilian players. At the moment I think Oscar moves because he doesn't play in the Premier League.
"China gives him that opportunity as well,..they invest a lot of money at the moment."
He concluded: "Will it be a future problem for the Premier League? It could become [one]."
Interestingly, Conte last week said the amount of money being spent by Chinese clubs was a "danger for all teams in the world".
Former Premier League star Carlos Tevez is expected to become the next internationally recognised player to join a Chinese club, in Shanghai Shenhua from Boca Juniors where he may become the world's best earning footballer at £615,000 (R10.6-million) a week.