Sanchez was due to be tested at the club's London Colney training complex on Monday but had already travelled to Manchester to complete the swap deal which took Henrikh Mkhitaryan to the Emirates, ESPN reported.
"On Monday there was a lot going on and it was a special day for Alexis Sanchez, because you have to do paperwork, you have to travel," Wenger said. "Is he still our player on Monday or not? You don't know as there are negotiations going on.
"I think it's a special event for him to miss a drug test because he was certainly busy somewhere else with his agent. Overall he has been tested so many times here that it is no worry for me that he has any doping problem. It was just a bad day for him to be tested."
Arsenal could face disciplinary action for Sanchez not being where the club said he would be, while the player himself is also responsible for keeping his own whereabouts up to date, but Wenger said he was confident that the matter would be sorted out.
"I'm quite relaxed because we have nothing to hide here," Wenger added.
"We always try our best to cooperate with doping controls. I pushed always for football to do more against doping, so I don't see why we should not cooperate. But this was a special day.
"The most important is that the intention is right. The intention of Alexis was certainly not to hide. Nor was our intention to hide anything, we have nothing to hide."
Wenger said it was rare for players to miss doping tests, but said it has happened in the past – such as one time when Cesc Fabregas had travelled to Spain for treatment on an injury. "Sometimes it can be difficult to locate the player at the right moment," Wenger said.
The Football Association has said it won't be making any comment on the matter.