Sanchez's future with the Gunners has been uncertain and with just one year left before his contract runs out, the Chilean could leave on a free transfer next year or be cashed in on this summer with the Citizens being heavily linked.
Recent reports state that sources close to Sanchez have been informed that he wants to leave North London and link up with former manager Pep Guardiola again at City.
However, speaking at a news conference in Sydney for Arsenal's pre-season tour of Australia, Wenger claimed the 28-year-old has not informed him of any decision to leave the Emirates, as quoted on Goal.
"No," Wenger replied, before adding that Arsenal will continue to not entertain any offers from Premier League rivals such as City. "It's a continuity of what I said at the end of the season."
Despite the likelihood of the North London club retaining Sanchez for the last year of his deal, the 67-year-old Frenchman is still hopeful that the former Barcelona man will extend his contract, whether it is at the start or during the 2017/18 season.
"The easiest way to manage the players in the final year of their contracts is it's in his interest to do as well as he can," he explained.
"Nobody knows today if Sanchez will be in the final year of his contract next season because he can as well extend his contract with us at the start of the season or during the season.
"It's not necessarily the last year of his contract at Arsenal Football Club."