The Chile international has produced some superb performances for the Gunners and scored his 14th goal of the season in the 1-0 victory over Southampton in midweek.
Sanchez has already played 27 matches for club and country this term so he is set to sit out next week’s Champions League tie away to Galatasaray, with Arsenal having already qualified for the knockout stages.
“I will have to give him a week’s break at some stage, yes, to give him a breather. He will not go to Turkey,” said Wenger.
“I did it with many players before who were a little bit playing every game. I did it with (Thierry) Henry, with (Robin) van Persie and it always helped them to get through without being injured.
“You have to know when to rest him and when not, but I think at the moment he plays at his peak on the edge.”
Sanchez was signed from Barcelona for ??32m after the World Cup.
Wenger said: “It is not easy in a team where you have such a dominant figure as Lionel Messi. The game naturally goes through the strong point, so in Barcelona the game goes through Messi. It means the other players become a bit more peripheral.
“You can see now when you watch Barcelona, (Luis) Suarez was a super dominant figure at Liverpool and sometimes (this season) you think ‘where is he?’
“I am certain he will find his place, but it is not easy for the players there.”
Wenger added: “Sanchez is a guy who likes big games, and for me that is the most important thing in a big player.
“It is a kind of leadership on the pitch, he does not stay out of the game and just says ‘I want to do this, I want to do that’.”
Watch Galatasaray v Arsenal in the Champions League live on Sports 5 HD on Tuesday from 7pm.