The Chilean admitted last week that he had made a decision on what he wanted to do next season.
Sanchez has one-year to run on his contract and Arsenal are desperate to keep him at the club.
"Sanchez is in control of the whole situation because the club have been so slow in reacting and sorting this out," Nicholas told Sky Sports.
"I have genuinely got bad vibes about Sanchez. It just feels as if he is teasing and tormenting other people to make an offer that Arsenal might have to consider. I hope I am wrong in that.
"I am certainly hopeful that if Lacazette's signing is an influence it should surely be a positive one."