Swiss international midfielder Gokhan Inler has also vacated the club in favour of a move to fellow Italian side Napoli.
However, Wenger believes that the visitors from Udine will still pose a threat to his players during the first leg of the Champions League play-off at the Emirates Stadium this evening.
"Udinese have lost Sanchez and Zapata but they have many other good players," said the Arsenal boss.
"They have [Antonio] Di Natale and plenty of players that have quality.
"Let's try to be at our best as quickly as we can because it is important for us to go through in the Champions League."
The Gunners have never lost a Champions League qualifying tie.