Sanchez only joined United in January, but he has struggled to rediscover his best form at Old Trafford and has scored just three goals in 24 appearances for the club.
The Chilean is yet to get off the mark this season and was hauled off for the fourth time in as many starts during the goalless Champions League draw with Valencia on Tuesday night.
Sanchez was already understood to be unhappy with manager Jose Mourinho after being left out entirely for last weekend's defeat to West Ham United, and the decision to play him on the right flank and then take him off is thought to have angered him further.
The Mirror reports that Sanchez believes he was mis-sold what role he would play in the team when he initially joined from Arsenal and is now discussing how to solve the problem with his agent.
The 29-year-old is thought to be considering a January exit unless under-fire boss Mourinho leaves the club before then.