Negotiations over a new deal have stalled, with Sanchez demanding a significant pay rise to remain at the Emirates.
The Chile international is also supposedly keen to get assurances that Arsenal will match his ambitions.
Alexis Sanchez will join Chelsea in the summer – Paul Merson
Alexis Sanchez to Chelsea: Arsene Wenger could keep star man
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Sanchez has been linked with a move to Chelsea this summer if Arsenal cannot secure fresh terms.
But Wenger is adamant the playmaker has his heart set on remaining in north London.
“Basically, he wants to stay at the club and it’s down to finding an agreement with his agent,” Wenger said.
“The players first have to see if they are happy at the club, then they have to find an agreement.”
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Arsenal want Alexis Sanchez to sign a new contract
Arsene Wenger says Sanchez (second right) wants to remain
Arsene Wenger says talks to meet Sanchez's agent's demands are ongoing
Chelsea are said to be eyeing a deal for Sanchez in case a move for Everton’s Romelu Lukaku falls through.
It has also been suggested the player could wait until his contract expires and then move across London on a free transfer.