The 25-year-old Germany global limped off with a first-half injury as the World Cup holders completed a 100% record in qualifying for Russian Federation 2018 by thrashing Azerbaijan 5-1 on Sunday.
"That's my understanding, yes", said Wenger.
Sanchez was part of the Chile team that were eliminated from the World Cup on Tuesday - in part due to an error for Colombia by his Arsenal team-mate David Ospina - and will be assessed for both his mental and physical state when he returns to England this afternoon.
"I didn't want to speak to him much [at full time] because I know how tough it is and also because I didn't want for people to interpret things in a way that would have put my professionalism in doubt".
"I will be happy for him wherever he goes".
Arsenal fans already upset at Sanchez failing to commit himself to the club are now even more frustrated following Chile's World Cup exit.
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