The Chilean, 28, has a year left on his Gunners deal but is yet to sign a new contract and has been linked with a move to Bayern Munich and Manchester City.
Reports in Britain have said he could be offloaded for up to 80 million pounds (US$103 million, 90 million euros), but Wenger suggested this won't happen.
"The players have contracts and we expect them to respect their contracts. That's what we want," he said in Sydney about the striker.
Asked if he remained determined to keep Sanchez and not let him go to a Premier League rival, Wenger replied: "Yes, that is a continuation of what I said at the end of the season. That's what we will do.
"He adds great value to the squad and I think as well he is a great lover of the club."
Sanchez, who at times last season cut a disgruntled figure as Arsenal struggled with form and uncertainty over Wenger's future, is not on the team's pre-season tour to Australia as he rests after last month's Confederation's Cup.
