ESPN FC's Mattias Karen quoted the Gunners boss, as Wenger confirmed on Saturday he will not sell Sanchez to any side in the world at present.
Sanchez has been consistently linked with an exit from the Emirates Stadium as his deal in north London nears its end following the 2017-18 season.
According to French newspaper L'Equipe (h/t Metro), Sanchez's representatives have spoken to PSG sporting director Antero Henrique as they attempt to strike a deal.
The 28-year-old remains Arsenal's star player, scoring 24 goals in the Premier League last term, according to WhoScored.com.
Wenger would struggle to find a world-class replacement if Sanchez left, with the team's lack of UEFA Champions League football a severe hindrance.