Paris Saint-Germain and Bayern Munich have previously been linked with moves for the Chile international, but it seems that Manchester City are leading the chase amid reports that Pep Guardiola's club are preparing a £60m bid.
Wenger has stated numerous times that Sanchez is not for sale, but the 28-year-old is yet to agree a new contract at the Emirates.
According to Marca, while at a charity match in his hometown of Tocopilla, the attacking star said: "I want to play in the Champions [League], but the decision isn't up to me. I need to wait on Arsenal."
Sanchez has just one year remaining on his current deal.