Sanchez, who scored 80 goals in 165 appearances for Arsenal, revealed he has been in recent contact with Wenger and described the Frenchman in glowing terms on Saturday evening.
Speaking after United's 2-1 FA Cup semi-final victory over Tottenham at Wembley, Sanchez told reporters: "I texted him yesterday to wish him the best. I could not say anything on social media but I texted him and he replied to me saying thank you to me.
"It's sad because he is a historical football legend, I always said he is a gentleman and a football master, he taught me a lot about respect and to be professional.
"I'm just so thankful to him."