The Brazilian playmaker opted to leave Stamford Bridge and move to Shanghai SIPG for a fee believed to be in the region of £60m.
Oscar is thought to have earned a significant pay-rise since his move to the Chinese Super League but Chelsea boss Conte admits that he was surprised by how the situation unfolded last month.
Speaking to BBC Sport, Conte said: “It’s very difficult to manage this sort of situation because when I arrive this offer very, very strange.
“For example, £60m for Oscar. Also, a lot of money for the players.
“I think this is not the right way to pay a lot of money also the players to keep them in a club.
“We must always have the right vision, the right vision to understand the right way and don’t lose the right way because if we lose the right way I don’t think it’s a good example for the young players, for the people in general that work every day.”
Chelsea are currently flying high at the top of the Premier League table as they bid to win the title in Conte’s first season in charge at the club.
The west London side are the heavy favourites to lift the trophy in May after pulling nine points clear of their closest rivals.
The Blues are currently gearing up for their Premier League clash against Burnley at Turf Moor on Sunday.
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