Sanchez, who made his first Gunners appearance of the season in the 4-0 drubbing at Liverpool before the international break, was the subject of heavy interest from the Etihad Stadium as Pep Guardiola sought a reunion with the former Barcelona forward.
However, deadline day came and went without Sanchez agreeing a move to City, and his mood will not have been improved by defeats to Paraguay and Bolivia, which left Chile out of the qualifying places in the CONMEBOL section for next year's World Cup, with two matches to play.
Sanchez will return to Emirates Stadium on Thursday ahead of Arsenal's home Premier League meeting with Bournemouth at the weekend, and Wenger was quick to dismiss any notion of the player arriving under a cloud of discontent.
"I have no doubt about Alexis' mentality," Wenger told a media conference.
"People question it, he needs to come back to full fitness - he wasn't [fit] at Liverpool, it was his first game.
"He's strong mentally and hopefully he'll be back very quickly to his best."
Arsenal attempted to bring Thomas Lemar to the club from Monaco in a deal reportedly worth £90 million, before the France international opted to remain with the Ligue 1 champions.
Asked if Sanchez's potential departure to City was dependent on Arsenal securing the services of Lemar, Wenger was typically evasive in his response.
"I believe the transfer market is over," he said. "There was a lot going on, it's very difficult for me to speak about it because the most important thing for us now is to focus on the next game.
"My view is that it's very difficult to speak about that because Lemar is now in Monaco and Sanchez is here and focuses on here and we have to keep a certain confidentiality about the transfer negotiations."
Wenger also reiterated his view that the transfer window should close before the season begins.
"In the players' minds they have no clarity, it's not a way to work," he said. "It's uncomfortable and every single manager in the league will say it's time to kick that out before the season starts."