Sanchez signed for Tottenham Hotspur in the transfer window and strengthens an already rock solid defence.
Liverpool's backline by contrast continues to look shaky and they did not sign another centre-back.
Molby believes if Liverpool had gone in for Sanchez, they could have won the race for his signature.
He said: "I wonder about the boy Davinson Sanchez, who went to Spurs from Ajax.
"Why didn't we show any interest in him? I still think we're a more attractive proposition than Spurs. It makes you wonder sometimes."
Sanchez cost Tottenham a club record £42 million, buying him from Ajax after one season at the Dutch giants.
The defender has begun his Spurs career promisingly, helping to keep a clean sheet in a win over Everton, and starred in the midweek Champions League victory over Borussia Dortmund.
Molby went onto lament Liverpool's lack of a plan B after failing to sign top target Virgil van Dijk.