The Chilean international's contract with the north London club runs down at the end of the next season. The Gunners wanted to tie him down to a new deal earlier in the season but he has already rejected signing an extension.
Arsenal finished fifth in the league and are out of the next season's Champions League. Sanchez has already expressed his disappointment after his side failed to challenge in the Europe's elite club competition and the Premier League. The forward admitted that his future will be decided after the end of the season.
According to the Telegraph, Pep Guardiola wants to reunite with the former Barcelona man at the Etihad. City are ready to challenge Bayern in securing the 27-year-old's services. However, Wenger has played down these reports and stressed that Arsenal are keen on retaining Sanchez beyond the summer transfer window.
"No, no," Wenger was quoted by Arsenal's official website, when asked if he is braced for losing players in the summer transfer window.
"We have nobody at the end of their contract so that will be completely our decision. Therefore, I just believe that we, the club, have a big job to do during the summer because you want to keep players like Alexis and end all the speculation that could happen."
"I just explained to you what a professional person is. If you have surgery tomorrow with a surgeon who is having his last day of work, you still want him to do good work with you and not expect him to do half a job only because it's his last day. That's what it means to be professional, to perform as long as you have a contract."
Arsenal will face Chelsea in the FA Cup final at Wembley on 27 May. A victory against the Premier League winners could see the Gunners end their disappointing campaign on a positive note.