The Chile superstar was missing from Arsenal's line-up after returning to pre-season training late following international duty and illness.
Club record signing Alexandre Lacazette does play though and leads the line for his side.
Sead Kolasinac was named on the bench but Francis Coquelin (ankle), Gabriel (knee) and Jack Wilshere (leg) are all absent because of injury.
Laurent Koscielny was given permission to play despite being under an FA ban but was not selected.
Mesut Ozil was the other surprise exclusion from Arsene Wenger's side as confusion continues to surround his and Sanchez's futures.
For Chelsea, Diego Costa is nowhere to be seen as the Blues continue to work on his exit.
But Alvaro Morata started on the bench after his £60m transfer from Real Madrid and Michy Batshuayi got the nod up top.
Eden Hazard and summer signing Tiemoue Bakayoko miss the Wembley showpiece though injury.
Fellow Chelsea new boy Antonio Ruddier was named as a substitute.
Victor Moses is in a similar situation to Koscienly and is available for selection but started.
Arsenal: Cech, Holding, Mertesacker, Monreal, Bellerin, Elneny, Xhaka, Oxlade-Chamberlain, Welbeck, Iwobi, Lacazette.
Subs: Ospina, Kolasniac, Willock, Nelson, Maitland-Niles, Walcott, Giroud.
Chelsea: Courtois, Azpilicueta, David Luiz, Cahill, Moses, Fabregas, Kante, Alonso, Willian, Batshuayi, Pedro.
Subs: Caballero, Rudiger, Christensen, Scott, Boga, Musonda, Morata.
