Sanchez is out of contract this summer and Conte last Friday spoke of his admiration for the player and how any any potential cut-priced deal for the Chile striker as a great opportunity.
Asked if Chelsea were actively seeking to sign Sanchez, the Italian said: "I don't know. I don't think so. I don't know, but I don't think so."
Conte, speaking ahead of Wednesday's FA Cup third-round replay at home to Norwich, was reluctant to discuss the transfer market.
"About the transfer market, I prefer to talk to the club, also to give opinions," he added.
"I repeat: I don't want to give my opinion about the transfer market."