Poland international not interested in being alternative to Antoine Griezmann this summer.
Holloway says it is almost impossible to manage a 'selfish' player like Sanchez.
Welbeck pulled out of the Arsenal starting XI as he was unwell just prior to the start.
Bayern's five goals came after Laurent Koscielny was sent off in the 54th minute.
Sanchez was not included in Arsenal's starting XI in their 3-1 defeat to Liverpool.
Gunners must overturn 5-1 deficit to reach the quarter-finals of the Champions League.
Ozil has assisted just once and failed to score thus far in 2017.
A 5-1 defeat in the first leg of their Champions League tie puts more pressure on Wenger.
The Gunners' Champions League hopes are all but over after defeat at the Allianz Arena.
Arsene Wenger's side humiliated at the Allianz Arena.
Vice-chairman Jan-Christian Dreesen says exit of Germany international was "never discussed".
Spanish veteran came through Tuesday's training session unscathed after knee injury scare.
Jerome Boateng trains ahead of last 16 clash at the Allianz Arena after chest surgery.
Arsenal have been dumped out in the last-16 stage by Bayern on two occasions in the last five years.
Xhaka is in contention to face Bayern Munich in the Champions League round of 16 tie.
Alonso is an important component of Bayern's tactics.
Arsenal bounced back from two league defeats with a 2-0 win over Hull City on 11 February.
Ozil's current deal at Arsenal will run down in 2018.
Alli is attracting interest from some of Europe's biggest clubs.
Bayern Munich winger faces a race against time to be fit for last-16 first-leg tie in Bavaria on 15 February.
The Chilean international was forced off with the injury on Friday.
Thill has already made his senior debut for Metz.