Sanchez, 28, was on the brink of reuniting with his former Barcelona boss Pep Guardiola at the Etihad Stadium on the final day of the summer transfer window only for the £60m deal to fall by the wayside after the Gunners failed to bring in a replacement.
The Chile international is in the final year of his contract at the Emirates and will now almost certainly leave the club on a free transfer at the end of the season, unless there is a dramatic U-turn in the club's fruitless attempts to get him to extent his deal.
In January, he will be free to talk to other clubs over his next move, but Wenger insists his star player has reassured him where his priorities lie for what is expected to be his final season in north London.
"He is very focused, [he] works hard," Wenger said following Arsenal's 3-0 victory over Bournemouth on Saturday. "He told me he is focused on the Premier League and the Europa League and ready to go.
"[He] still looks a bit short physically because he came back late, after that he was injured, but e will be back quickly."
Sanchez, who scored 30 times in all competitions last season, was left out of Wenger's starting XI on Saturday as Arsenal got back on track following a 4-0 thrashing at Liverpool before the international break. A brace from Danny Welbeck and Alexandre Lacazette's second goal for the club sealed a comfortable win with Sanchez coming on for the final 15 minutes, almost setting up Olivier Giroud for a fourth.
The Chilean received a warm ovation from most in attendance when he was brought on after 75 minutes, although jeers were heard from a small section of the home support.
Arsenal begin their Europa League campaign at home to Bundesliga side Cologne on Thursday before their trip to Stamford Bridge on Sunday.