Sanchez will see out the final year of his contract at the Emirates, after the club turned down a £60million bid from Manchester City for the Chile international.
The Gunners were willing to sell the 28-year-old, but pulled out after they failed to land Thomas Lemar from Monaco on transfer deadline day.
Wenger told beIN SPORTS that those decisions will have big financial consequences next summer.
“You take Sanchez into the final year of your contract, you sacrifice £60-£70m in income and then at the end of the season you will have to buy somebody for that amount of money,” Wenger said.
“So it has a huge price. So at some stage you have to make a decision, you have to sacrifice one or two [players].”