The Chile international, whose Gunners contract expires in the summer, has been the subject of intense transfer speculation over the last 12 months.
Sanchez was among the substitutes when Arsenal took on Chelsea in their semi-final first leg at Stamford Bridge but came on in place of Alexandre Lacazette in the 66th minute.
Speaking to BBC Sport after Wednesday night's encounter, which finished goalless, Wenger claimed that Sanchez's omission from the starting XI was purely a tactical choice.
"I thought I would bring him on after an hour," the Frenchman said. "I knew we had to defend more and he could make the decision in the last 30 minutes. It was nothing to do with transfers."
Sanchez has been heavily linked with a move to Premier League leaders Manchester City.