Sanchez outlined his belief that he should be talked about in the same bracket as the Liga superstars while on international duty with Chile this week.
The former Barcelona man said: "I have reached a level where I can compete with great players. I do not feel inferior to anybody.
"I liken [my qualities] to Messi and Ronaldo. I have the same abilities as them."
Wenger partially backed Sanchez's claim, although he also stressed the forward needs to improve his consistency if he is to reach their level.
He told reporters at his news conference ahead of Saturday's game with Southampton: "That's what you want him to do [have that level of ambition].
"Ronaldo and Messi have been doing it for years so the consistency of their performance speaks for them.
"I hope Alexis can do that. He's ambitious, he's a guy who wants to win every single match, so it's good to have that kind of ambition to be the best.
"He has the potential and the ability, it's just up to him to show that."
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