The 12-year-old, who stood out at the recent La Liga Futures tournament, posted the message on Instagram, prompting widespread surprise in Spanish youth football given his status as arguably the standout talent in Real Madrid's youth ranks.
"Today I end my time at Real Madrid. I arrived three years ago from Novelda, and my family and I gave up everything to come to Madrid. I never imagined I would live through everything I have experienced," Sanchez wrote.
He thanked those who had supported him throughout his time at the club.
"You are the ones who give me the strength to carry on. I am going to miss my great friends, my team-mates, enormously — we will see each other on pitches for sure. You are wonderful people, you and your families," he wrote.
He also named the coaches who had guided his development at the club.
"Thank you to my coaches over these years — Jose Villasevil, Javier Rubio, Ruben the assistant coach from last year, Mario Madrid, Jero and David Valentin, and to Miguel the physio, thank you for looking after me. I have learned a lot with you and have been happy," he said.
Sanchez closed his statement with a pointed message for those who had doubted him.
"I also want to thank the people who did not believe in me. With you I learned to play with my wings clipped, and I still think I did well. You have made me mentally strong, and that will help me a great deal in achieving my dream of becoming a professional. So, thank you," he wrote.
The youngster, born in Novelda, is expected to join Getafe, where he said he intends to find a calmer environment in which to enjoy his football.
"Now it's time for a stage of calm and happiness, doing what I love most, enjoying my game, my favourite sport, connecting with my team-mates, and feeling like we're all valued. We are children — for us football is a really fun game, and we want to turn it into something professional, but later on," he said.
Sanchez began playing for Santa Maria Magdalena Novelda in 2017, before four years there preceded a single season at Elda Union and a move to Elche, from where Real Madrid signed him for their benjamin and alevin youth categories.
He was named the best player at the Iniesta Cup, which Real Madrid won, and impressed organisers with his maturity on the ball.
"What surprised me most is that he was three or four steps ahead of everyone else. And at that age, that isn't usually normal," Jose Luis Morcillo Alfaro, coordinator of the Iniesta Cup, told MARCA.
Sanchez is primarily a central midfielder with the ability to arrive late into the box, and is regarded as an exceptional dribbler with a strong eye for goal.