The 26-year-old, who joined the north London outfit from Barcelona last July, has high hopes for the Gunners and believes that one trophy is not enough for Arsene Wenger's side, labelling the campaign a "disappointment".
Arsenal beat Aston Villa 4-0 to win the FA Cup in May, but Sanchez feels that reaching the Champions League final or winning the Premier League would have marked the perfect season.
"It was an OK season, but it was bittersweet. I would have liked to have been in the Champions League final, to have won the Premier League title," Sanchez told reporters ahead of Chile's Copa America clash with Ecuador on Friday.
"I believe we have a bunch of skilful players so to not achieve more is disappointing."
The season was certainly successful for Sanchez as an individual, with the forward grabbing 25 goals in all competitions, and impressing sufficiently to be named in the PFA's Team of the Season, the only Arsenal player to be included.
"I had a breakthrough in my football life. Now I switch to the left, I make goals, I pass, I am evolving," he said. "And if I am put in at centre forward, I will do it in the best way possible."