The Chilean is yet to sign a new deal at the Emirates and is understood to be holding out for upwards of £250,000 per week to stay.
Supporters have grown increasingly uneasy in recent weeks with Sanchez and teammate Mesut Ozil’s uncertain futures only adding to the high-profile problems on the pitch.
But Wenger, whose own future is also the source of much speculation, has called on supporters to remain calm over the situation.
"He has one and a half year contract," he said at his pre-match press conference when asked about Chelsea’s apparent interest in the Gunners’ star man.
"I don't understand that debate. Our job is to perform as long as we are here.
"I do not understand this kind of anxiety, it is absolutely denying what a professional guy is about."