Both the Chilean and German international are out of contract at the end of the season and are able to leave the Gunners for free.
But Arsenal are keen on recouping money for the pair, according to Wenger, meaning they could leave the club when the winter transfer window opens.
“In our situation, we have envisaged every solution,” Wenger said. “It is possible [that they leave in January].”
On Ozil’s current contract situation, the Frenchman added: “It is my understanding [that he wants to stay]. I hope the situation can be turned around.
“At the moment, we are not close enough to announce anything.”
Wenger also spoke about Sanchez in his press conference ahead of Arsenal’s Premier League clash with Watford this weekend.
He said: “I will have to speak to him. Yesterday, I watched the whole game and I must say he got some special treatment.
“It was very physical and mentally I will have to assess the situation.”
Arsenal fans are very aware of the fact neither player has signed a new contract at the club and that at least one will more than likely be on their way within the next year.
But hearing their boss confirm the news – their worst fears – has made the potential situation all the more real, and they’ve taken to Twitter to complain.
* A League of Their Own continues Thursday, 9pm, Sky 1.