Gunners manager Arsene Wenger recently said that Sanchez is "likely" to move to Old Trafford during the January transfer window, and BBC Sport reported the Red Devils coach did not contradict his Arsenal counterpart's remarks.
"There is no point in trying to hide or deny, but [Sanchez's transfer] is not done at all," Mourinho said. "I think clearly everybody knows that we are there and especially when Arsenal manager speaks so clearly like he did."
Per BBC Sport, Henrikh Mkhitaryan could go in the opposite direction as part of the deal. However, Mourinho revealed he is not directly involved in any talks about either talent.
"I like to be out, I am out and I will just calmly wait for news," Mourinho said. "No more than that."
James Robson of the Manchester Evening News previously reported Manchester City had pulled out of the race to capture the Chile international but that Chelsea were interested in making a late offer to bring him to Stamford Bridge.
Sanchez's time at Arsenal appears to have come to an end, and with the Gunners only having a short window to gain a fee for the attacker, it seems they are content to let him go before the end of January.
Zlatan Ibrahimovic is likely to leave the Theatre of Dreams at the end of the campaign, when his contract is up, and Sanchez would be a suitable replacement to complement Romelu Lukaku, Marcus Rashford and Anthony Martial in a wonderful forward line.