But Wenger said he had not heard from PSG president Nasser Al-Khelaifi and referred to French media reports suggesting PSG are more interested in signing Monaco's Kylian Mbappe.
He tweeted: "Without confirmation at this time - Alexis Sanchez is reportedly in a large Parisian hotel with his agent and lawyer".
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.
"That's what I've read in the papers and on my side I've had no contact with Paris Saint-Germain".
The Chile global has been ruled out of Friday's Premier League opener against Leicester and next weekend's trip to Stoke - a blow for Arsenal as they look to avoid last year's slow start to the campaign. We bring you the best of the lot.
Sanchez returned to the club late after the summer break and has not featured in any pre-season games after playing at the Confederations Cup with Chile. "He had a little abdominal strain that he caught in training on Sunday morning before he came to Wembley. He had a scan two days ago and he's out for a while", the Guardian quoted Wenger as saying. I don't know how long he will be out - two weeks, maybe one more week.
Arsenal have of course been dogged in their determination to keep Alexis, and have seen the likes of PSG and Barcelona linked with the player, along with the more remote possibilities of Chelsea and Manchester United. But we have all the other players prepared in pre-season and they are all ready.
'Always when I have faced opposition or unhappiness, I try to focus on what I think is important in the game, work harder and question myself, "what can I improve?"
The German centre-back started against Chelsea in the Community Shield on Sunday but was forced off with a nasty cut above his eye so will need to be assessed ahead of the Leicester game.