This prompted City to drop their interest in a January move for the Arsenal forward with the intention on gambling on Sanchez turning United down and waiting until the summer to make the switch to Eastlands for free at the end of his Arsenal contract.
The Chile worldwide entered the final six months of his Arsenal contract at the start of January and had been expected to move to City, with Sanchez said to be keen to join up with Pep Guardiola once again.
"I think Mkhitaryan is one of the best players in the Premier League when he is at his best and Arsenal need star talent if they lose Sanchez and Ozil".
He has been at Arsenal since 2014. The in-demand Chilean will not play for the Gunners on Sunday and the latest reports suggest that United have an edge over City in securing his services.
The Mirror have reported that United are leading the race for Sanchez and that they're prepared to pay the Chilean a staggering £350,000 per week.More news: Plane skids off runway on Black Sea coast in Turkey
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And Cole believes that Mourinho needs to take advantage of this window of opportunity to sign Sanchez this month.
City are willing to pay Sanchez £285,000-a-week while United are happy to go over £300,000-a-week in order to usurp their Manchester rivals.
Asked why Sanchez has been left out of the squad, Wenger told Sky Sports: 'He's been vague at the moment, the situation is not completely decided one way or the other, so I left him at home.
For fans of Manchester United, it would be a sad sight to see Zlatan leave The Theatre of Dreams, but even the Swede knows when it's time to go as he wouldn't want a situation where he is fit but can't get onto the pitch.
"If Manchester United bought Sanchez it would be a major-major signing", he said.