I don't pay any attention to Wengers "not selling" mantra. He is not stupid. Why would he say anything else before he has secured other deal(s)?
It would weaken his hand if the selling club knew Sanchez was going/gone and he was desperate to sign a replacement etc.
Of course he will sell if he has done his deal(s) and the price is right. He will not be bothered what the fans say or think. He will do what he thinks is right for the club, both financially and football wise.
It wouldn't surprise me if he has already discussed this with Sanchez, and has told him to play ball (and keep quiet) while they do their business.
Travelling with his agent/lawyer could mean the deal has already been agreed and is just a matter of waiting for another deal to complete before he signs.