Alexis re-signed for Udinese last month after coming off contract at Inter Milan.
Okoye told the The Italian Football Podcast: "Incredible, I remember when he first came into the dressing room. I was sitting in my chair, right at the beginning, I looked up, I immediately stood up and shook his hand as if to say: it's Alexis Sanchez.
"He's a legend of football, not just a legend of Udinese, but of the game in general. It's a privilege and I'm proud to be able to work with a legend like him."
On young teammate Lorenzo Lucca, he added: "Absolutely, he has the potential (to become Italy's number 9). For me, he is already a top-level striker. Like me, he is young and has to work on many things. Sooner or later, 100%, he will get there. He has all the qualities.
"He has the height, but he also has the skills of a striker who is not so tall, if you know what I mean. He is a very special player, I am happy to play with him. He will definitely be there (with Italy)".