The Chile forward is away on international duty with Chile as they host the Copa America.
The 26-year-old, signed in a Â£30million deal from Barcelona last summer, was the stand-out player for the Gunners, capping a memorable campaign with a superb goal in the 4-0 FA Cup final win over Aston Villa at Wembley.
However Sanchez feels, with the talent of Arsene Wenger's squad, there remains a sense of what might have been after seeing their title challenge fade despite a strong second half of the campaign, and disappointment in exit from the Champions League to unfancied Monaco.
"It was an okay season, but it was bittersweet
I would have liked to have been in the Champions League final, to have won the Premier League title," Sanchez told a press conference ahead of Chile's first Copa America match with against Ecuador on Friday.
"I would have liked to be in the Champions League final or to have won the Premier League title
I believe we have a bunch of skilful players so to not achieve more is disappointing."
Sanchez scored 25 goals for the Gunners, and set up many more.
He added: "I had a breakthrough in my football life
Now I switch to the left, I make goals, I pass, I am evolving
"And if I am put in at centre forward, I will do it in the best way possible and I am fit to play."
Arsenal are expected to strengthen the squad again in the summer, and continue to be linked with a move for Chelsea goalkeeper Petr Cech.
Source : PA