The Chile international was not included in the Gunners' 18-man travelling party for Sunday lunchtime's encounter at the Vitality Stadium.
Wenger believes that the 29-year-old's future is close to being resolved one way or another, telling Sky Sports News: "He's been vague at the moment; his situation is not decided one way or the other so I left him at home."
Asked if a resolution was imminent, Wenger added: "Yes, but don't read too much into it because even I don't know what way it will go. You want to focus on the players who are on the pitch who can do well for the club."
Sanchez, due to see his contract expire at the Emirates Stadium in the summer, was brought off the bench for the final 25 minutes of Arsenal's goalless draw with Chelsea in midweek.