The Chile worldwide did not travel with the squad to the south coast, BBC Sport reports.
When asked at a press conference if United were interested in signing the 29-year-old Chilean global, Wenger said "nothing is really concrete at the moment".
"I don't think it is ethical or correct to be speaking about players of other clubs".
United is said to have presented Arsenal with a bigger offer than City, and although Mourinho claims it was not in the club's plans to sign players in January, he acknowledged that fantastic opportunities are worth pursuing whenever they present themselves.
"We don't believe in signing a player just to sign a player, just to do something.We don't believe in that".
The Armenia worldwide has been linked with a potential exit at Old Trafford over the past couple of months or so following a hard 2017-18 season so far.
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He added that Trump supports immigration policies that welcome "those who can contribute to our society". The remarks, Durbin said, were "vile, hate-filled and clearly racial in their content".
"Because if Sanchez chooses to go to Man City, that's a real custard pie to Man United".
Neville pointed out the difference in the illustrious histories of United and City as he claimed that his former club had a lot more to offer than financial benefits.
Paper Round's view: Jose Mourinho has never been a fan of Arsene Wenger, and signing both players would be a huge blow to his opponent. They have told Sanchez to make up his mind over the proposed move this week.
"If there is a fantastic opportunity on the table, you fight for that fantastic opportunity".
Chelsea boss Antonio Conte has spoken of his admiration for Arsenal forward Alexis Sanchez, who he almost signed while managing Juventus.
But nothing is quite so straightforward during transfer season and Manchester United threw a spanner in the works by making a late swoop for the Chilean.
Manchester United signed Mkhitaryan in a £30m deal from Bundesliga giants Borussia Dortmund in the 2016 summer transfer window but the playmaker has struggled to convince under Jose Mourinho. "The only word I can say is he is a phenomenal player, apart from that Arsenal player and I feel I shouldn't say much more than this".