Wenger oversaw Alexis' departure for United last January.
"It is the question that he has raised with his performances," Wenger said on BeIN Sport. "I believe he has lost confidence.
"The strength of Alexis Sanchez is to take initiative, to dribble, to take people on.
“These kind of players are most vulnerable when they have no confidence anymore because their game is based on confidence and feeling free to take initiative.
"He has lost that slowly, even with the interruption of the season, since the start of the season he looks like he had a high level of energy that he has lost as well.
"Certainly, he is refreshed now because Mourinho left him out for a while and he has a good opportunity to get back to where he belongs, as a top player."