The Chile international is known for his direct and energetic style of play, and Wenger has admitted in the past that he finds it difficult to leave Sanchez out of his team because of his relentless energy levels.
Sanchez has struggled to find consistent form for the north London side since his return from a lengthy lay-off with a hamstring injury.
However, the 27-year-old former Barcelona star admits that he finds it difficult to switch off from football and would rather work on his fitness levels in the gym than take an evening off.
Speaking to Arsenal’s website, Sanchez said: “I always want to play and to win because football’s my passion, it’s my life.
“That’s why every time we win, I’m really happy. I can’t be happy with drawing or losing a match. It actually makes me really sad when that happens.
“I also like to see my team-mates’ happy faces when we win because I know that they’re going to go out the next day and celebrate that win with their families.
“The manager sometimes says to me, ‘Have a rest’ but I don’t want to rest. I’d rather go home and do a bit of gym and exercise in my house to maintain my form.
“I think [my passion] started in Tocopilla because I always used to play with older people. I always wanted to be a footballer, I always wanted to play.
“I was born to be a footballer and, God willing, I will be able to continue doing that. As you know, I’m passionate about football. I like to win.
“Since I was a child I’ve always been annoyed if I didn’t win. If I lost a match I would be annoyed and then I would just want to train so that I could win the next day.”
Arsenal’s next game is a home clash against Watford at Emirates Stadium in the Premier League on Saturday 2 April.
The Gunners were knocked out of the FA Cup by the Hornets earlier this month.
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