During the closing stages of the 1-0 win over the Foxes, Sanchez did not retreat the required distance away from throw-in taker Fuchs who, at the third attempt, threw the ball at Sanchez's shoulder, leading to the Chilean going down and clutching his face.
Sanchez was booked for remaining too close to Fuchs but after Sanchez was criticised for his reaction, Wenger has claimed that the exchange was 'not embarrassing'.
He told reporters: "I'm not sure he knew exactly the rule, do you know the rule?
The Frenchman added: "It's embarrassing? I don't feel like that, no."