Sanchez has undergone his medicals with the Old Trafford club and is set to become the highest-paid player in the Premier League.
The 29-year-old will sign a £400,000-a-week contract, pick up a £15m signing-on fee.
“I cannot understand anybody wanting to leave Arsenal. But in 30 years of doing transfers, you learn a lot about human beings.
“As a professional, it was perhaps his last contract at the top level and an important contract. After that, I accept that because we accepted that we would let him go. After that, we analyse the pros and the cons.
“We did what we tried to do and went as far as we could. Even Manchester City moved out of it in the end. That tells you we had no chance to give him a contract,” Wenger said.