Costa's future at Stamford Bridge has been uncertain ever since the FA Cup final in May with manager Antonio Conte informing him via text message that his time at the club was over.
With Costa having recently come out and claimed that the club are treating him like a 'criminal' amid his wishes to re-join Atletico Madrid, Wenger states the difference between the two teams is that Arsenal want to keep Sanchez.
The Chilean's contract runs out at the end of next season and he is yet to sign a new deal with the Gunners, amid links to Manchester City.
The latest reports state that the Citizens will lodge a £60m ($77.1m) bid, offering Sanchez £400,000-a-week ($514,300-a-week) in a deal which would total £143m ($183.8m).
Despite this, and the fact that Arsenal could risk losing the 28-year-old on a free transfer next summer, Wenger remains hopeful of keeping him.
"Of course [Sanchez will stay]," he told beIN Sports, as quoted on FourFourTwo. "[The Costa scenario] is a little bit of a different situation.
"We always wanted to keep Sanchez and we always hope – even now – that we can extend the contract of Sanchez, [Alex Oxlade-]Chamberlain and [Mesut] Ozil. So it's difficult for me to analyse the Chelsea situation with Costa."
The Frenchman also has no doubt that Sanchez will respect his contract and remain focused even if his deal runs out in 12 months.
"It looks unusual to the media sometimes that clubs want contracts to be respected," he added. "For me, it looks logical. I am amazed that you are amazed. It looks normal.
"If I sign a contract, I respect it. Of course, if a club releases me, it is normal that I can go somewhere else, but I know that when I sign for two years with Arsenal, Arsenal have that contract and I have to respect it," Wenger reiterated.