The former Gunners defender believes Sanchez's desperation to always be on the pitch can be tricky for the club at times.
Following a frustrating day for the Chilean forward against Norwich City on Saturday, Sanchez was clearly unhappy at being substituted by Wenger in the 84th minute and walked straight down the tunnel after coming off rather than sitting on the bench with his teammates.
After the match Wenger admitted that he could understand the 27-year-old's disappointment as he is the kind of player who always wants to be playing.
In his 'Tackle Keown' column for the Daily Mail, Keown revealed that he believes Sanchez can be a hard player to handle because of his ultra-competitive nature.
The former England defender said: "I get the feeling that Sanchez can be a player who is hard to handle. The last time I visited the training ground he was on a day off and he had actually come in to train. He is always so desperate to play and that can be quite tricky to manage.
"But I wouldn’t take too much notice of that reaction – sometimes you don’t want your players to be happy about coming off. When I played we all wanted to play every minute and that’s the case with Sanchez. As long as you don’t go over the top I think it’s ok to show your disappointment."
Injuries have prevented Sanchez replicating the level of success he enjoyed in his first season at the Emirates Stadium, when he 25 goals in 52 matches in all competitions.
However, he still boasts a similar goals-to-games ratio in the current campaign, having racked up 16 goals in 39 appearances, including a streak of five in four last month.