Wenger is under pressure after the Premier League side failed to qualify for the Champions League for the first time in 20 years, and he is also dealing with persistent doubts about several of his star players.
Chief among them is the future of attacker Sanchez, who has a year left on his Arsenal contract but is stalling over an extension.
Wenger said that rather than sell his best players, he is in the market to add to his squad.
“We are still open to strengthening our team with players coming from outside,” the Frenchman, who has already signed defender Sead Kolasinac and striker Alexandre Lacazette this summer, told the Arsenal website.
“We are very active in the transfer market and have already realised two incomings.
“We have to keep a balance as well, that you don’t destabilise the team too much by bringing in too many players.
“But we are still active in the transfer market so let’s see what kind of opportunities we can find.”
Separately, speaking at a Shanghai press conference on the eve of a friendly with Bayern Munich, Wenger said he paid little attention to more media reports linking Sanchez with a move away from Arsenal.
The 28-year-old was quoted in Chilean media at the weekend as saying he wanted to play Champions League football.
Wenger said he had not spoken to the player since the quotes emerged and Sanchez is not on the tour in China as he takes time out on holiday.
But Wenger added: “I do not give too much importance to things that are translated.
“From that interview what I got was that he didn’t really mean that (about leaving Arsenal to play Champions League football).
“The main focus for us is the Premier League and the Premier League for me today is more important than the Champions League.
“We played 20 years in the Champions League — 17 years before Sanchez arrived and three with him — so he can get us back in it.”
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