According to a Daily Mail report, Manchester United are prepared to make Alexis Sanchez the Premier League's first £350,000-a-week player - with Jose Mourinho pledging to pay for it by sacrificing summer bids for Antoine Griezmann and Gareth Bale.
He has been at Arsenal since 2014.
"His situation is not decided one way or the other so I left him at home", he said.
In fact, recent reports have indicated that Alexis' agent, Fernando Felicevich, has already agreed to terms with the club and so has Sanchez, so it seems we are only waiting for the official confirmation and the physical exams to say this is a done deal.
"They have to accept this responsibility and it can't happen again because these players should be tied down to long-term contracts, they shouldn't be going to enhance United or City".
Discussions are believed to be underway between Klopp and Liverpool's owners, Fenway Sports Group about lodging a potential bid for Sanchez, although it will be hard for the Merseyside club to persuade the Chilean to move to Anfield due to both City and United being able to offer significantly higher wages than the Reds.
"They should be playing for Arsenal, it's one of the biggest clubs in the world".
Asked if a resolution was imminent, Wenger added: "Yes, but don't read too much into it because even I don't know what way it will go".
"My understanding from the blue side of Manchester is that they don't want to pay anything like £35m for Alexis Sanchez, they would be more happy to pay £20m".