Sanchez, 28, is currently in the final year of his contract. He has been linked with a move to Paris St. Germain in the current transfer window, Eurosport reported.
"We have not progressed on that front," Wenger said in a news conference before Arsenal head to Stoke City on Saturday.
"At the moment, he is a player who goes into the final year of his contract and prepares for the season. We have not made any progress on the other front.
"It's not an ideal situation on the financial side and it demands some sacrifice ... but it doesn't mean the players who are in the final year of their contract will not extend their contract. We will work on that as well."
Wenger said Sanchez is still recovering from an abdominal strain but is expected to regain full fitness before the club's match in Liverpool on August 27.
"For Sanchez, it (Stoke) looks a little early, but he works hard in training," Wenger added. "He should be available for next game against Liverpool.
"His recovery is going very well, he is working very hard. But you have to be very cautious. It was a muscle strain and (you have to be wary) not to have any setback on it."
Arsenal began its campaign with a 4-3 home victory over Leicester City last weekend.