Sanchez could be one of Sir Alex Ferguson's prime targets in the January transfer window, although 'the Wonder Boy' is under contract with the Italian club until 2014.
United would have to pay in excess of £17million for the 21-year-old starlet.
The player told Spanish newspaper As: "United? Obviously I'd like to play for a club like that.
"Malaga? Why not. Whatever the side, all this is dealt with by my agent, as he is the one who talks to the clubs.
"I am not interested in knowing anything until negotiations are at an advanced stage."
Ferguson has admitted his interest in Sanchez and is also reportedly showing an interest in fellow Udinese and Chile man Mauricio Isla.
"We have looked at Sanchez and he has impressed us, as have other players," admitted Ferguson a few weeks ago.
"He has had very good games and is an interesting project.
"We have gathered some background, as with other footballers at his level, but nothing more than this - for the moment."