The Frenchman also believes that Paris Saint Germain's pursuit of Barcelona star Neymar has derived from their failure to sign the Chilean.
When asked about rumours Sanchez was in Paris for talks with PSG, the Gunners boss said: "No, I don't think he was in Paris. No.
"Paris Saint Germain cannot get Sanchez so they go for Neymar.
"I read L'Equipe in the last three to four days and it has moved from Sanchez to Neymar. You know they are speaking about Neymar, a few days they were speaking about Sanchez. They need a subject to write about.
"My mind has been made up for a while now. I think I've made it clear a few times that he is not for sale and this is my stance.