The Gunners have offered Sanchez a new deal worth around £300,000-a-week, but he is yet to sign it.
Bayern Munich, Chelsea and Manchester City have all shown interest in the Chilean, who is currently on international duty ahead of the Confederations Cup.
“I’m looking at what my agent is doing,” he told Cooperativa.
“For now, I’m focused on the [Confederations] Cup in Russia and trying to do well.
“The truth is that my agent will see to it. He knows and he will sit down with the club to look for the best option for me.
“I’d like a lot of things but I’m only thinking about the national team.”
Felicevich also represents Bayern Munich’s Chilean midfielder Arturo Vidal.