Sanchez scored 25 goals in his first season at Emirates Stadium but feels Arsenal, who won a second consecutive FA Cup, could have done better as a team.
The Gunners were knocked out by Monaco in the last 16 of the Champions League and finished third in the Premier League, 12 points behind Chelsea.
“I would have liked to be in the Champions League final or to have won the Premier League title,” Sanchez told BBC Sport.
“We have a bunch of skilful players so to not achieve more is disappointing.
“It was an OK season, but it was bittersweet,” said Sanchez.
On his own game Sanchez 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.”
Wojciech Szczesny, meanwhile, believes Francis Coquelin rather than Sanchez was the star of the season for the club.
“He’s made the biggest impact this season,” Szczesny told Arsenal’s official website of the holding midfielder.
“Since he came in, we look really solid defensively. He’s not a flash player, he doesn’t like to go past people.
“He doesn’t get assists and he doesn’t score many goals, but the work he does for the team is incredible.”
Szczesny could soon find himself as third choice goalkeeper at Arsenal, with reports claiming Petr Cech is on the verge of joining the club from Chelsea.