The Gunners forward has still not come to an agreement over his future in north London.
His contract with Arsenal is set to expire in 2018, but Alexis Sanchez is stalling on committing long-term.
Express Sport understands AC Milan are poised to offer £45million and are ready to pay his £250,000-a-week salary that is desired.
Alexis Sanchez scored both goals for Arsenal in their much-needed 2-0 win over Hull on Saturday
Arsenal are reluctant to meet his requests, having tabled an offer worth £180,000 a week, which could see them forced to sell this summer if they do not buckle.
Sanchez has shone at the Emirates as Arsenal’s star player this season, with fans desperate to see him stay.
And player-turned-pundit Gerrard believes the 28-year-old is worth the money and Arsene Wenger would struggle to replace him.
“I would sign a contract,” Gerrard told BT Sport.
Steven Gerrard says Arsenal should give Alexis Sanchez what he wants
Should Alexis Sanchez's goal against Hull have been disallowed for handball?
Sat, February 11, 2017
Should Alexis Sanchez's goal against Hull have been disallowed?
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Should Alexis Sanchez's goal have been disallowed for handball?
Steven Gerrard believes Alexis Sanchez is happy at Arsenal despite showing frustration of late
If you’re Arsenal, you give him what he wants – he’s a world-class footballer
“He’s in good form, he seems happy. He seems like he’s playing well.
“If you’re Arsenal, you give him what he wants – he’s a world-class footballer.
“He’s that type of player that can be the difference in the big games and those players are very hard to sign.”
Juventus, Paris Saint-Germain and Atletico Madrid all tracking his situation.