Yes, but Sanchez is their best player. The Ox was always going to leave because he's not even that good, so getting a fee for hin from a desperate club like Chelsea who have had a nightmare window makes sense. He won't improve them that much.
Whereas handing Sanchez to City will be absolutely suicidal and could hand us the title. Personally I also agree that losing out on 60m or so from a player on last year of his contract is stupid, but maybe Wenger sees this as a gamble worth taking as keeping Sanchez might just give them CL football. So in essence if he gives them CL football, although they would have lost a fee on selling him a season earlier, they wouldn't have lost out on CL money.