Sanchez only returned to training on Tuesday, having initially been given a later start date due to his involvement in the Confederations Cup with Chile, which was then further delayed by illness.
Wenger explained the absence of the 28-year-old, who has been heavily linked with Manchester City with only a year left on his contract, while also allaying fears over Per Mertesacker's head injury after he had to come off in the first half at Wembley following an aerial clash with Gary Cahill.
Arsenal won 4-1 on penalties after a 1-1 draw, despite being without Sanchez, Mesut Ozil, Aaron Ramsey, Laurent Koscielny and Shkodran Mustafi.
"I left them all out because some are short of preparation like Alexis Sanchez," Wenger told reporters.
"Per had a cut on his forehead. It is nothing bad. It was just bleeding and open, but it is not bad."
Ozil (ankle) and Ramsey (calf) are doubts for Arsenal's opening Premier League match at home to Leicester City on Friday.
Asked if any of the players who missed the Community Shield would play, Wenger added: "Overall, we will see.
"Let's just focus on the next game and try to start well. We play Leicester, they have experience and have the same team for four years now and that will be another battle."