That’s according to BBC Sport journalist David Ornstein.
Arsenal accepted a £60m bid from City for the Chile international yesterday.
However, the Gunners couldn’t secure a replacement for their star man before the transfer window shut at 11pm last night.
Arsenal made a £92m bid for Monaco sensation Thomas Lemar but the France international chose to snub the Gunners and stay in Ligue 1.
And Ornstein says Sanchez, who is currently on international duty with Chile, thought he was a City player on deadline day.
“I’ve spoken to a number of people close to Alexis Sanchez,” Ornstein said.
“He felt that the deal was done, that he would become a Manchester City player.
“He’s likely to be shocked by this, he’s away on international duty with Chile.
“He will have to get his head around it pretty quickly because Arsenal will be relying on him this season.”
Sanchez returned to action for Arsenal last weekend when the Gunners were smashed by Liverpool at Anfield.
