For his part, Arsenal manager Arsene Wenger came out on Wednesday saying that he is confident that both Alexis and midfielder Mesut Ozil will stay at the Emirates this summer.
"There's only one team in London so it means Sanchez is very happy", Wenger said. When people give interviews in their home countries the interpretation is not what it always what he wanted to say.
"I am happy in London and hope to finish my contract there [at Arsenal]", Sanchez said. He wants to win the championship - that's what everyone wants and I understand that completely.
"It's true that it happened before when we were in a position where financially we had to sell our best players, and that's not the case any more", he said.
"Look, he has one-and-a-half years left on his contract".
Arsenal fans will, not for the first time in recent years, have found themselves little the wiser on the key issues around the football club after Arsene Wenger's press conference this morning.
"I'm not the type of player to chase after the ball the whole time, everyone knows that", the German playmaker told Sport Bild.
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Ozil joined the Gunners from Real Madrid on a record £42.5 million transfer fee (Guardian) in 2013 but will have just 12 months remaining on his contract at the end of the season.
Alexis Sanchez has been linked with a summer move to Chelsea. He added that he expects both Sanchez and Ozil to be at the club for the forseeable future.
And Wenger said recent results have made it clear that his squad needs to be strengthened this summer even if Ozil and Sanchez both end up staying.
"Once you go into the final two or three months of the season, everybody is focused on the season". I hope the club will find an agreement with them. You give yourself a moment to relax.
"He [Ozil] is in contention to start again".
Ozil did however admit that his form has dipped this season, claiming that when things aren't going well it's "twice as hard" for a creative player. He played 20 minutes against Azerbaijan.