The transfer saga involving the Chile international continues, with Manchester City, Chelsea and Paris Saint-Germain being linked with his signature.
Arsenal will be competing in the second tiered Europa League this season, but Wenger has claimed that they can get back to the elite competition with Sanchez's help.
"The decision has been made and we will stick to that. The decision is not to sell," The Mirror quotes Wenger as saying. "I don't give too much importance to things that are translated, you know. The whole interview that I got didn't really mean that.
"The main focus for us is to concentrate on the Premier League and the Premier League for me today is more important than the Champions League. We rested sometimes players in the group stages of the Champions League for the Premier League so that's become the biggest importance for us.
"For the rest, we played 20 years in the Champions League, that's 17 years before Sanchez arrived and three years with him so he can get us back in there."
Sanchez's current contract at the Emirates expires at the end of the upcoming season.