Sanchez has one-year left to run on his current contract and negotiations have been ongoing with the Gunners.
But Arsenal's failure to qualify for the Champions League has lead to speculation that Sanchez may refuse to re-sign with the club.
And the 28-year old's comments at the Confederations Cup in Russia, where he will compete with Copa America champions Chile, have done nothing to quell the rumours.
"I'm watching what my agent does," said Sanchez.
"For now I'm focused on the Cup here in Russia and try to do well.
"The truth is that my representative will see it. He knows and will sit with the club seeing what is best for me.
"I would like many things, but I only think the selection."