However Wenger, speaking after Arsenal reached the FA Cup final with a 2-1 semi-final win over Manchester City, said that Sanchez - who scored his side's victor in extra time - will be at the club next year.
League form, however, remains a problem for an Arsenal side that will take on Leicester City in the Premier League on Wednesday sitting seventh in the table, seven points behind fourth-placed City.
Oxlade-Chamberlain has excelled in Arsenal's last two games after Wenger switched to a 3-4-3 formation, and was singled out for praise after the 2-1 extra-time victory over City at Wembley.
"We have let him (Arsene Wenger) down at times this season, we want to win it (FA Cup) for him and ourselves".
Cech won the Premier League and FA Cup four times apiece during a decorated Chelsea career, which also included glory in three EFL Cups, the Champions League and the Europa League before he joined Arsenal in 2015.
In the 11th minute of extra time, just after Aguero was taken off, Alexis Sanchez scored the victor.
"I carried on going and trying to work my socks off, get into position and tackle and you know, ultimately, it paid off".
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Once upon a time the comebacks were so common it inspired the name of an Arsenal fanzine, but in recent seasons Arsenal have gained a reputation for fragility rather than fight. I am very proud for the players.
Wenger was given a four-match touchline ban and £25,000 fine following his conduct towards Taylor, who was the fourth official for Arsenal's 2-1 win over Burnley on January 22.
Indeed, Holding finished up with the fourth-most touches of any Arsenal player and the most touches of any Arsenal defender, whilst completing four successful dribbles - never an easy task against a high-pressing Pep Guardiola side in a semi-final at Wembley. Each week we go to the pitch to give the best of yourself and win the most matches.
"It was a very tight game but overall I think we deserved to win the game".
"We gave a good answer to people who questioned that (spirit)", he said.
"We have to stand up and prepare for the games we have still to play", Guardiola said.
Koscielny added: "Before this (Manchester City) game, we were in a fairly dark period". That's the most important thing in our job.