Speaking to the Alan Brazil Sports Breakfast, the Arsenal hero said: "Sanchez is a must to stay".
Arsenal can also win the FA Cup but will be major underdogs against champions Chelsea, so face the prospect of yet another season without silverware as well as missing out on the Champions League qualification for the first time since the 1996/97 season.
Wenger continues to be hounded by the "Wenger Out" brigade who have held numerous protests in recent months.
Mesut Ozil has admitted that he is not very enthusiastic about Arsenal's new formation.
Arsenal have an outside chance of successfully maintaining their proud record of qualifying for the Champions League every season under Wenger, but need other results to go their way in the battle for third and fourth spot in the Premier League.More news: 4 automakers agree to $553M settlement of Takata airbag claims
The England global saved 11 of the Gunners' 13 shots on target at the Emirates Stadium, with Wenger's side frustrated until the 70-minute mark when Alexis Sanchez opened the scoring. "He is the creator of the stadium, the players, and style of the club", said Sanchez in an interview with the Daily Mirror.
Arsenal attacker Alexis Sanchez is demanding a massive wage packet of £300,000-a-week and Champions League football if he is to stay at the North London club, according to a report.
Wenger was unsure whether Sanchez, heavily linked with a summer move away from the Emirates, was going to be fit for last night's match at home to Sunderland but his gamble to play the striker paid off as he struck twice to see off the relegated Black Cats.
"Probably you would be looking at somewhere between 45,000 and 50,000 in the stadium, so if 15,000 haven't turned up does it make a big, huge statement that everyone's saying they don't want Arsene Wenger at Arsenal any more?" If they like that I carry on, or they don't.
"I don't think there are a lot of players like him and a player like this who can be the difference during the game, it's rare".