The Gunners are facing a transfer headache given Ozil and Sanchez have little over six months remaining on their current contracts at the north London club.
The Arsenal midfielder has been linked with a potential move to their bitter rivals Manchester United ahead of the January transfer window.
Ozil has been in brilliant form with three goals and five assists ahead of Friday’s clash against Liverpool FC but the German star could leave Arsenal for nothing next summer.
Sanchez has struggled to maintain his high standard this season and has only scored four times in 17 games in the Premier League this term.
Arsenal have been regularly linked with a move to sign Mahrez over the past 24 months but a deal has failed to materialise.
Former Tottenham midfielder Jenas questioned why Wenger didn’t sign an attacking midfielder in the summer transfer window.
“Let one go bring in Riyad Mahrez,” Jenas told BBC Radio 5 Live. “There is a deal for you if you want to get that done. That won’t cost £100m. You’ll find yourself in profit.”
Arsenal haven’t won the Premier League title since 2003-04 when Thierry Henry and Patrick Vieira inspired the Gunners to their famous unbeaten season.
The north London side have won the FA Cup in three of the past four seasons.
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