The 28-year-old has one year left on his deal at the Emirates.
However, it has been reported that Sanchez has said he wants to join Arsenal's Premier League rivals Manchester City.
Asked whether Sanchez had told him that he wanted to leave the club, the Frenchman said: "No."
Wenger added: "The players have contracts and we expect them to respect their contracts. That's what we want."
Sanchez joined Arsenal from Barcelona for about £35m in the summer of 2014.
Wenger, who is in Australia with the Arsenal squad for a pre-season tour, also spoke of his admiration for Monaco forward Kylian Mbappe.
The 18-year-old has been the subject of transfer speculation after a stunning breakthrough season in which he scored 29 goals in 31 starts last term.
"He's a player who, when he gets up in the morning, can chose where he wants to go," said Wenger.
"There are not many players with that kind of luck because he's 18 years of age and all of Europe has a red carpet open for him.
"Nobody can say he is not interested in a player of that calibre, all the clubs are interested in him."
Alexis Sanchez has not told Arsene Wenger he wants to leave the club, says the Gunners boss who "expects" the Chile striker to see out his contract.