The former Marseille team-mates both left the Stade Velodrome this summer.
The southern French club had a quick-fire sale of their major assets over the summer, with the former team-mates both leaving the Stade Velodrome to move to the Premier League.
Payet has stated that he felt that despite the Marseille exodus, the Ligue 1 side would look to keep hold of Thauvin and that he was surprised that the attacking midfielder ended up on Tyneside.
“Yes and no,” Payet told Le 10 Sport when asked if he expected Thauvin to be sold.
“He’s young and has, as you say nowadays, great resale value and has a lot of qualities.
“About him leaving, no, I didn’t think he would leave as the president had made him his key player and give him an important role.”
The pair have both shown signs that they can be major players for their respective clubs this season, with impressive cameos so far in 2015-16.
Payet has been a real star for the Hammers and scored a brace against Newcastle when the teams met last Monday night at the Boleyn Ground.
Thauvin has not had as much football in England as his former team-mate, but put in an impressive showing on his debut in the 4-1 Capital One Cup win over Northampton, scoring one goal and creating the other three.