Sanchez is expected to complete his move to Old Trafford from Arsenal on Monday, with Henrikh Mkhitaryan moving in the opposite direction.
The Chilean international is set to become United’s best-paid player, with some reports putting his salary at £450,000 per week.
McClaren, who was Sir Alex Ferguson’s assistant when United won a treble in 1999, said: “That is the danger in the modern game and the problem I find in clubs.
“Wage parity is very important to players. Yes, they find out – at all levels – and if someone is paid a lot higher than others that can cause a problem.
“If he (Sanchez) is on the wages that is being bandied about then other players will know that when their contracts come up or they are in demand from other clubs.
“The others will be looking at renegotiation next season or the season after and getting to that (wage) level if they think they are at that level,” he told dailymail, UK.