The transfer saga surrounding the Portugal international came to an end this week after the forward sealed a move to Juventus.
"As a Madrid fan, I feel sad because you want those players to stay, but he decided to leave at the top, despite his contract," Sanchez told Radio Marca.
"He will be missed because he's a symbolic player.
"He's a legend and what he did at Real Madrid will long be remembered, just like Alfredo Di Stefano, Emilio Butragueno, Juanito and myself.
"The numbers speak for themselves.
"Real Madrid always want to have the best and Ronaldo was still the best so both lose out."