Sanchez, 28, was reported to have stormed off the training pitch last week before becoming involved in an angry confrontation with his team-mates.
He started Saturday’s 3-1 Premier League defeat at Liverpool on the bench and made a goal for Danny Welbeck after Wenger brought him on at half-time.
The Chile forward was present for training at Arsenal’s London Colney base ahead of Tuesday’s Champions League last 16 second leg against Bayern Munich and shook hands with Wenger before the session.
Sanchez has been linked with a move away from Arsenal at the end of the season, with Juventus and Paris Saint-Germain among the clubs reported to be monitoring the situation.
Arsenal slipped out of the Champions League places following the weekend loss at Liverpool and must overturn a 5-1 deficit against Bayern to remain alive in this season’s competition.
Wenger, whose own contract expires at the end of the season, was due to address the media later on Monday.
Sanchez, a July 2014 signing from Barcelona, is Arsenal’s top scorer this season with 20 goals in all competitions and is seen as their most important player along with German playmaker Mesut Ozil.
But as Arsenal’s form has dipped, his on-pitch displays of frustration have become increasingly noticeable.
Wenger conceded that his decision not to start with Sanchez at Anfield had backfired, but said he had “no special regrets” about the call.
Former Arsenal striker Ian Wright said he would be looking to leave the club if he was in Sanchez’s position.
“If I can’t get in Arsenal’s team when they’re coming to places like Anfield when you need to win to try and stay in the top four and there’s unrest around him anyway, why do I want to stay?” Wright said on BT Sport.
“We’re not actually challenging for anything. We got hammered out of the Champions League.
“He is a sought-after player and if I’m sitting in the dressing room like Alexis Sanchez today, his agent his probably making phone calls now!”
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