Reports emerged on Monday night (15 January) claimed that the defending Premier League champions were looking to hijack Jose Mourinho's attempts to acquire the Chilean contract rebel, after long-term suitors Manchester City withdrew from the race.
Such a development came as a surprise to many and reporters close to Chelsea have subsequently insisted that there is little truth to the rumours.
Asked if the club were attempting to sign Sanchez during a press conference held before Wednesday night's (17 January) home FA Cup third-round replay against Norwich City, Conte told reporters: "I don't know, I don't think so."
A further question regarding Sanchez was dismissed, with the manager adding: "I prefer to talk to the club to give my opinions. I repeat, I don't want to give my opinion about the transfer market."
United appear to be firmly in the driving seat as far as Sanchez is concerned and are willing to pay both the £35m asking price and the inevitably hefty signing-on and agents fees. However, so-called 'super-agent' Mino Raiola today backed claims over a potential part-exchange deal by insisting that the move will not happen unless his client Henrikh Mkhitaryan agrees to leave Old Trafford for Arsenal.
Conte was also quizzed about the future of back-up striker Michy Batshuayi, a target for La Liga outfit Sevilla, who speculation suggests will be allowed to complete a January exit if Chelsea are able to secure a suitable alternative option amid those links with Sanchez and West Ham United frontman Andy Carroll.
While a possible move has not been ruled out, the 24-year-old Belgian international is set to make only his ninth senior start of the season against Championship Norwich at Stamford Bridge.
"He is Chelsea's player and he is in our squad," Conte insisted. "Tomorrow he has to play. I think this is the truth until now. He is a Chelsea player and is having the possibility to show that he can play for Chelsea. This is the reality, in the future I don't know what will happen."
Chelsea have made just one new signing during the current transfer window, with Ross Barkley joining from Everton for a cut-price fee of £15m. No players have yet been sold, though youngsters Ike Ugbo and Jake Clarke-Salter were loaned to MK Dons and Sunderland respectively and Jordan Houghton extended his spell at Doncaster Rovers until the end of the season.
"I try to work with my players, I am very happy to work with them and we are looking to build something important for this club," Conte said on transfers. "If someone asks me my opinion on if we need to improve then I give my opinion. The most important thing is to work and improve every single player."