Sanchez is out of contract at the end of next season and has been heavily linked with an exit from Arsenal.
Manchester City and Bayern Munich are keen on his signature but the Gunners want to keep their star man beyond the summer.
City have grown confident they will land the Chile star despite Arsenal’s reluctance to sell to a Premier League rival.
Sanchez is currently in Russia ahead of the Confederations Cup Final between Chile and Germany this Sunday.
He was asked at a pre-match press conference whether he would be playing with Chile team-mate and close friend Claudio Bravo at City next season.
Sanchez laughed and responded: “Good question. Right now I’m focused on the Confederations Cup.
“When this is finished I will see if I stay or if I go. I don’t know.”
Sanchez was then asked: “Is it clear in your mind or have you not decided?”
And the striker said: “Yes it’s clear but I can’t tell you.”
Following the press conference, Sky Sports reporter Bryan Swanson asked the 28-year-old about his future.
“Alexis, I’m from Sky Sports, what are the chances of you staying at Arsenal?” Swanson asked.
Sanchez replied: “I don’t know my friend, I don’t know.”
Sanchez was quickly ushered away, with a Chile representative saying to Swanson: “The press conference is over thank you.”
The forward scored 30 goals for Arsenal last season in all competitions.
However, he has grown frustrated at his side’s failure to compete for the Premier League title and the Champions League.
The Gunners failing to qualify for Europe’s elite club competition has not helped matters as Sanchez wants to be playing in that tournament.
He is also thought to be keen on working with City boss Pep Guardiola again after the pair enjoyed a spell together when the Spaniard was manager at Barcelona.
