The Gunners boss announced on Friday he would be stepping down from his role at the Emirates at the end of the season.
There has since been an outpouring of tributes from Wengers former and current players.
However, Sanchez was not among them, despite them having spent three-and-a-half years together at Arsenal.
Following Manchester Uniteds win over Tottenham in the FA Cup, Sanchez explained why.
I texted him yesterday to wish him the best, said the Chile international.
I could not say anything on social media, but I texted him and he replied to me saying thank you to me.
It is sad because he is a historical football legend.
I always said he is a gentleman and a football master. He taught me a lot about respect and to be professional.
Im just so thankful to him.
Asked if Wenger had made him a better player following his switch from Barcelona in 2014, Sanchez was affirmative.
Yes a lot, he is a true gentleman, he replied.
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Sanchez became one of the best players to play under Wenger but he opted not to extend his contract at the Emirates which led to him joining Manchester United in January.