That's what cannot be allowed to happen. The extra funds of desperation from Citeh would do Arsenal little good if a late window deal is done. Given how long it takes Arsenal to complete a transfer, they would directly strengthen a "rival" while really weakening the squad. Arsenal would just be waving the white flag at that point.
If Sanchez is leaving, it needs be sorted sooner rather than later so that Arsenal can bring in a few players to try and make up for the loss.