Sanchez has underlined his importance to Arsenal with five goals in his last three games.
A stunning hat-trick in the 5-1 win over West Ham on Saturday has put Sanchez joint-top scorer in the Premier League with 11 goals alongside Chelsea star Diego Costa.
Alexis Sanchez and Mesut Ozil both have 18 months to run on their Arsenal contracts
The Chile international has 18 months to run on his current Arsenal contract and is reportedly demanding parity with the Prem's top earners to sign a new deal.
But bookmakers Ladbrokes have priced Chelsea as the 4/1 favourites to lure the 27-year-old away from Arsenal.
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Alexis Sanchez celebrates his stunning hat-trick for Arsenal against West Ham
Manchester City are next at 5/1, Manchester United are at 6/1 and Liverpool are an 8/1 bet.
Manchester City have a long-term interest in Sanchez with boss Pep Guardiola a big fan.
Manchester United have been linked with a shock move for Ozil, but do not appear to have an interest in Sanchez.
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That could change if he was made available for transfer however, with United able to afford his wage demands.
Liverpool tried to sign Sanchez under former boss Brendan Rodgers, but he chose Arsenal upon leaving Barcelona in 2014.
Juventus are also an 8/1 bet, while a return to Barca is at 12/1 and a move to Real Madrid is 14/1.