Arsenal boss Wenger said Sanchez would only be allowed to leave if they could get a new signing over the line - the club have been linked with young Bordeaux forward Malcom.
And Ferdinand, who enjoyed a trophy-laden career at United between the years of 2002 and 2014, believes that the Chile global has more chances of winning silverware with Pep Guardiola's side.
If a deal can not be agreed with any club, Sanchez will be able to leave when his contract expires in the summer - a situation Arsenal are keen to avoid as they would receive nothing.
He told Sky Sports" Super 6 Class of "92 Facebook Live: "I think it would be an absolutely unbelievable signing".
The last few days of the January transfer window has been dominated one name - Alexis Sanchez.
Merson says the Armenian would be a star at Arsenal, something they would not have if Sanchez and fellow contract-rebel Mesut Ozil left the club. "He's a very good player".
They dislike United as much as Mourinho and it all smacks of the Robin Van Persie saga which saw the striker leave whilst in a rich vein of form and go on to win the premiership.
Diego Martinez, whose Twitter profile claims he has written for March and Mundo Deportivo, tweeted earlier this evening that Arsenal had reached an agreement with Sanchez's agent, Fernando Felicevic, and that the move was completed.
Meanwhile, Jose Mourinho has shared his thoughts on the "phenomenal" player.
A move to Manchester City has been on the horizon since, with Pep Guardiola's team coming close to getting him in August but just falling short.
United and rivals Manchester City are going head-to-head for the Chilean this month.
According to The Telegraph, the Red Devils are interested in signing Jamie Vardy from Leicester City, or Javier Hernandez from West Ham United, if they can't secure a deal for Sanchez this month.
The Premier League leaders have always been linked with signing the Chilean forward, and had a reported £60m offer for him accepted by Arsenal on deadline day last summer.