The Frenchman departs after a final game at Huddersfield Town on Sunday and was in reflective mood as he contemplated his 22 years in charge.
Speaking ahead of the Westminster Mile, Farah said: "I didn't want him [Wenger] to go in that way, to be honest".
"This football club likes to improve and now we will discuss the next steps and there are a lot of steps for this club to take".
Adding that "this is an unbelievable achievement, we have a further season in the Premier League".
"A domestic league will play Tuesday-Wednesday. As a professional, a person and the way he approached and also for the club and especially for football and I think everybody in football should thank him for everything he did".
Warnock, back among the elite following Cardiff City's promotion, believes the Premier League will be a poorer place without Wenger next season.
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He has competed for the Champions League with Juventus and The Sun say his ultimate dream would be to steer Arsenal to the European Trophy.
"This game isn't just about Arsenal's away-day blues and Wenger's final Gunners goodbye". Wenger's men have yet to take a single point on their travels in 2018 and lost 3-1 away to Leicester City last time out. We were all together; the players, our chairman Dean, Darren Bryant our finance director who was the first man at the bar, and even our media department.
David Wagner's side have already spoilt one party this week and will look to crash another when they host Arsene Wenger's final game for the Gunners.
"Here", he said. "I lived here for 22 years, my daughter has spent her whole life here, she is going to university here".
"And on the top end, when you look at the modern developments they are booming, you know".
Arsenal have reportedly decided on their preferred choice to succeed Arsene Wenger as manager next season. There will most definitely be a carnival atmosphere inside the John Smith's stadium because of this and the Huddersfield players will want to give the crowd something more to cheer. There was something like 50 feet between them, which you don't get at most grounds.
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