The visitors were rescued late on by substitute Olivier Giroud, whose header was just the ninth goal scored by his side away from home this season.
Sanchez, who claimed his third assist this term at St Mary's, has only scored four Premier League goals in the same period.
"I think in the second half I was happy with his performance but in the first half I feel he played a little bit too deep," Wenger told talkSPORT.
"We need him a bit higher up the pitch, especially when you dominate the game it's important he player in the final third. Sometimes he's tempted to drop a bit deeper into midfield.
"It's difficult when you start 35 yards away from goal. It's difficult to score."