Wenger said Sagna "agreed it a long time before" to make his move to Eastlands in the close-season - something the France international did not completely dispute - but the former Auxerre man was disappointed at his old manager's comments.
"I know exactly what happened - everyone knows," Sagna said.
"I am not a tricky person. I am very professional, so I don't want to comment on it.
"All I will say is that I was at Arsenal for a number of years. I have always been straight. I have always given the maximum.
"Even when I came back from injury and was not fully fit, I always played. I don't know why he [Wenger] said this."
Sagna said Arsenal's FA Cup triumph in May - their first trophy in nine years - was not enough to sway him to remain at the Emirates, claiming his decision had already been made.
"I knew I had to come, no matter what happened. I had already made my mind up," he said.
"I wanted to change. I wanted to boost my career. I'm 31 now and it was time to move. It's not about the money.
"Can you find one player in Europe who stayed six years on the same contract? That's what I did and I never asked for anything.
"If I was the first one to join Man City, then OK, but I don't know what to think. Every time a player leaves they seem to get abuse.
"To me, I made the right choice and I'm very happy to be here no matter what they think. I am not the first one to leave their club and I won't be the last."
City travel to Newcastle United on Sunday in their Premier League opener, after Arsenal open their season at home to Crystal Palace.
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