Wenger, whose side return to Premier League action with a trip to Watford on Saturday, said Sanchez was among a group of players heavily relied upon by his nation - similar to Zidane with France, Beckham with England and Messi with Argentina.
But Watford equalised from the penalty spot with 19 minutes left after Hector Bellerin was harshly adjudged to have brought down Richarlison before Tom Cleverley pounced on a loose ball inside the box to smash the victor in the second minute of stoppage time. That should be game over, Arsenal have won the game.
Arsenal trail Premier League leaders Manchester City by nine points and Wenger admitted his side had paid the price for a sloppy second half display.
"We missed a few final balls as well, where we should have been better".More news: New Jersey man nearly loses $24.1M lottery prize
It was that sort of game; promising much yet delivering little, until Mertesacker broke the deadlock in the 39th minute.
Ten minutes later, Alex Iwobi's shot was saved by Watford's goalkeeper following a smart move by Ozil.
We had many times the chance to score the second goal.
And as there is no firm interest in Ozil, 29 today Arsenal would have to cash in on Sanchez, 28.More news: JPMorgan third-quarter earnings beat forecasts
Arsenal's first away goal of the season was also Per Mertesacker's first in the league since December 2013.
'I feel he (Ozil) was at fault for the late goal conceded, ' the former Arsenal defender told BT Sport.
On came Olivier Giroud for fellow Frenchman Lacazette and Gomes again rescued Watford with a save to foil Ozil, whose run behind the home defence perhaps should have been flagged offside. Seconds later Hector Bellerin fouled Richarlison and Watford were level.More news: Hamas and Fatah announce reconciliation agreement in Cairo