Sanchez and goalkeeper Bravo, 34, are understood to be friends and were room-mates while on Confederations Cup duty with Chile.
A source said: “The two are close pals and spent a lot of time together while away in Russia for the Confederations Cup.
“Their families know each other as well. Wenger does not want to sell to a domestic rival, but this is not good news for him.
“Even though he is rated at £50m and is expected to leave, Arsenal do not want him to go to City and would rather sell him abroad.”