His omission came after the 28-year-old Chile winger allegedly walked out of a training session and was confronted by his team mates Laurent Koscielny and Aaron Ramsey.
Wenger has said reports of a training ground incident were false but former Arsenal player Robert Pires, who trains with the first team, said Sanchez walked off after a bad tackle.
Walcott was quoted by British media on Wednesday saying: "There are certain things that happen at training grounds... You don't see it often at Arsenal.
"Things have happened. They need to stay in the dressing room and the players and staff need to sort it out. We are in it together here. We can't be fighting each other.
"I don't really want to go into it, but the stuff that has gone on did not affect our first half here (at home to Bayern Munich)."
Criticism of Wenger has grown more vociferous this week following Tuesday's 5-1 second-leg mauling by the German champions and a run of three defeats in four Premier League games that has seen the club drop outside the top four.
Wenger, who is out of contract at the end of the season, gave the strongest sign yet that he could end his 20-year reign at Arsenal when he recently said he will manage next season, but did not know if it would be "somewhere else".
"We need to take the pressure off the manager and that will happen by performances. Who knows what the manager will do?" Walcott said when asked about Wenger's future.
"Players just want to play football for this club and do well for the manager. The players are like everybody else - we don't really know what's going on."
Arsenal have the perfect chance to put their painful Champions League exit behind them as they prepare for Saturday's FA Cup quarter-final at home to non-league Lincoln City.
(Reporting by Shravanth Vijayakumar in Bengaluru; editing by Ken Ferris)
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