Manchester United have emerged as a strong contenders to sign Sanchez after they offered Arsenal a bigger payment for the attacking star who is out of contract this summer, as well as reportedly proposing bigger fees for the player and his agent to move to Old Trafford this month.
Sanchez is in the final six months of his contract at Arsenal and had been expected to move to United's local rival Manchester City, after he almost joined Pep Guardiola's men at the start of the season.
However, the league leaders are unwilling to match the Gunners' £35m asking price and there is speculation rivals Manchester United may move in.
City remain tight-lipped over a potential approach for Sanchez in the current transfer window but midfielder Kevin De Bruyne said on Wednesday he believes the player would "add something" to the squad at the Etihad Stadium.
"If Arsenal could get him playing like he was at Borussia Dortmund they would have one of the best players in the league". "If somebody speaks of one of my players to tell we are interested, I wouldn't be very happy".
Neville pointed out the difference in the illustrious histories of United and City as he claimed that his former club had a lot more to offer than financial benefits.
French side Paris Saint-Germain have also been linked with the Chile forward, but Sanchez's preference is to join City.
"Alexis is an exceptional football player, he's a world-class player and if that happens (and he leaves) we have to find a different balance in the team".
City, who now sit a remarkable 15 points clear off second-placed United in the English top flight, are also just one game away from the Carabao Cup final and one of the favourites to win the Champions League this season.
Alexis Sanchez would be a "major signing" for Manchester United, according to Andy Cole.
That could be less certain now though, Sanchez's preference is still understood to be City but if United go all out to sign the player he could easily change his mind. Arsenal with Malcolm will have a different dynamic but Wenger will hope that the Brazilian will lessen Arsenal fans heartache over the departure of Alexis Sanchez with some fine performances.
During Friday's episode of Close Calls on The42, ESPN's Mark Ogden pondered as to whether Sanchez might prove to be "City's Faustino Asprilla" - a destabilising influence not dissimilar to the great Colombian striker's arrival when Newcastle led the Premier League by 12 points in February of 1996. "These guys want to win, and they want to make money as well".