#4 Different Playing Style
Arsene Wenger, his manager at Arsenal, of course, emphasised free-flowing attacking football, and players employing their own intelligence and initiative to handle on-field decisions. His role as manager was then to prepare players physically and mentally, and ensure they could play their highest technical game.
As a player who is high energy, highly technical, and self-driven, this environment suited Alexis initially. Hence why he scored many goals for Arsenal in his tenure.
Mourinho, however, has a near opposite style for Wenger. He's more pragmatic and likes to play football best suited the opponents at hand. He can play "sexy football" when needed, but it's not primary as it would have been for Wenger. Or for Guardiola or Klopp as of now. Mourinho also is a manager who likes to control tactics and structure much more than Wenger did, so it's possible that this new style isn't suiting Sanchez at all.
This is speculation of course, but it can take time for players to adjust to new styles and formats.