Sanchez has scored a single goal since switching from Arsenal during the January transfer window, with Henrikh Mkhitaryan moving the other way.
Jose Mourinho has acknowledged it was not the ideal time to sign Sanchez, who had been linked with Manchester City and was set to become a free agent at the end of the season.
"Seeing as I demand a lot of myself, I expected something better," Sanchez said during international duty with Chile.
"After my arrival at United, it was hard to change everything very quickly. I even hesitated to come here [to Sweden with Chile]."
Sanchez said he talked to Chile captain and Manchester City goalkeeper Claudio Bravo regarding the prospect of skipping the friendlies against Sweden and Denmark.
"I had asked permission to miss these games and stay in England, but then I thought better and spoke with Claudio [Bravo] and told him that we should all be united," Sanchez added.
"The change of club was something that was very abrupt - it was the first time I've changed clubs in January - but many things have happened in my life that are difficult."