The Ligue 1 giants have been linked to the Chile international throughout the summer, but recent reports have suggested that the club are no longer interested.
PSG recently smashed the world record transfer fee by meeting Neymar's £200m release clause at Barcelona, and now Wenger thinks that they will turn their attention to AS Monaco teenage starlet Kylian Mbappe, whose club are also believed to be demanding a huge price.
During this morning's press conference, Wenger made it clear that he has not held talks with PSG chief Nasser Ghanim Al-Khelaifi.
"It was certainly very busy to complete the transfer of Neymar. I did not speak with Nasser for some months now," the Frenchman told reporters. "I am not expecting him to get in touch either; if you read the French papers they are on Mbappe's case."
Meanwhile, Sanchez, who has also been linked to Manchester City, has been ruled out of the Gunners' Premier League opener against Leicester City on Friday due to an abdominal strain.