On Friday, Wenger announced that he will end his 22-year reign at Arsenal at the end of the season with the Gunners currently sitting 33 points adrift of champions Manchester City in the Premier League table.
Klopp has spoken highly of Wenger but says that he has been left "surprised" by the decision of the Frenchman, who he says could potentially take up another job elsewhere.
At a press conference, the 50-year-old told reporters: "I am surprised. It is his decision. I respect that. He is an influence in football. Had a fantastic career. Outstanding personality.
"He was there for so long, 22 years is a long time. Maybe in last few months not everybody was happy with this result or that. He was the dominating guy in mid 1990s, 2000s. It is different now because we have to challenge but in Germany he was a big role model.
"It will be different. Maybe he will go somewhere else. I wish him all the best."
Klopp has put together a five-match unbeaten streak against Arsenal since moving to Liverpool.