The Chile international appears likely to leave the Emirates Stadium at the end of the campaign as a free agent, having turned down the club's offer of a new contract.
Sanchez is believed to be on the radar of Paris Saint-Germain and Real Madrid, while Manchester City were seemingly set to recruit the 28-year-old on transfer deadline day before the Gunners pulled the plug on the move.
According to Don Balon, Serie A giants Milan are willing to pay £75m to land Sanchez ahead of their supposed transfer rivals in January.
The report adds that the Rossoneri, who are backed by Chinese investment, are desperate to add to their squad and view Sanchez as the man to help them restore the club to its former glories.
Sanchez has scored 73 goals and registered 44 assists in 151 Arsenal appearances since his 2014 move from Barcelona.