"I will not give anything away on (Sanchez), but the only thing I can tell you is that he is focused and my decision is clear: he will stay and he will respect that," Wenger told reporters.
"It is as simple as that."
Manchester City and Paris Saint-Germain are clubs reportedly interested in signing the 28-year-old.
He was given an extended break after playing for Chile at the Confederations Cup in Russia and his return was delayed last weekend due to illness.
Having eventually returned on Tuesday, he took part in an open training session at the Emirates Stadium on Thursday ahead of Sunday's Community Shield showdown with Chelsea at Wembley.
With Sanchez's Arsenal contract set to expire next year, the speculation about his future will not go away, but Wenger refused to divulge information about the contract talks.
"Every negotiation has to be a little bit secret," Wenger said during a press conference.
"The transparency of society is very pushy, but we have to resist a little bit, as much as we can.
"We know as well we have a duty to inform people, but to talk about some things is not information any more - it is suicide.
"I think he will be here this season and if we can do it for more seasons, we will do it as well."