Before Christopher Nkunku struck a late winner, Sanchez denied Evanilson from the spot.
He later told chelseafc.com: "I’m happy.
"We always study the opponents. I’ve been looking at him. I can see he changes when the keeper dives early. So I held, and I knew if I stayed where I was he was going to put it there, so it was a good decision and a good save.
"It’s the closest thing you can get to scoring a goal as a keeper. You make a penalty save, a few good saves in the game, a lot of actions, and keep a clean sheet, so I’m over the moon."
Sanchez continued: "It was a massive win. The first games of the season have been difficult, this one especially with the way they came at us the first 15 minutes.
"This is a difficult place to come when they’re coming at you like that. It was really difficult to try to play out with the ball, but the boys did well, they didn’t crumble under pressure and we deserved it.
"I’m really happy with the team. We are improving game by game, session by session, and we can go to the highest which is what we believe we can do, and this is what we are going to try and do."