Calls for the Frenchman to leave have grown in recent weeks following another disappointing campaign, culminating in around 15,000 supporters staying away for the 2-0 home win over Sunderland in midweek.
Protests stepped up last month when fans projected a 'Wenger Out' banner onto famous London landmarks, but Sanchez has warned supporters to be careful what they wish for as Wenger has been such a key figure in their recent history.
"For me, [the protests] is very bad," he is quoted as saying by The Mirror. "He is the manager who gave a stadium to the club, won cups, and he has been 21 years in the job. He is the creator of the stadium, the players and style of the club."