The Gunners host the Foxes at the Emirates Stadium for their first game of the season.
However, the Frenchman has now confirmed that Alexis will not feature, due to a slight injury picked up in training.
“Sanchez will not be available," Wenger told reporters in a press conference.
"He had a little abdominal strain that he caught on Sunday morning in training. he had the scan two days ago. He’s out for I don’t know how long.”
Alexis has been heavily linked with a move away from the Gunners this summer.
PSG and Manchester City have both been mooted as potential destinations for the Chilean, but Wenger says that the club have yet to receive a formal bid for the forward.
"I can't tell you that at the moment," he said, when asked if offers had been made. "We are not open to any offers anyway."
Alexis enjoyed a remarkably productive 2016-17 season, as he scored 24 goals in 38 Premier League appearances, and also provided 11 assists.