"It is difficult to cope with quality players like Tim Cahill and Mikel Arteta and Yakubu made the most of his chances," Sanchez said after the 3-0 defeat at Goodison Park.
"I know it sounds like whingeing again, but I thought the first goal was offside. It was another poor decision that went against us.
"It gave Everton a lift and formed the bedrock of their second-half display.
"We had to go forward from then, and that meant we could be opened up by a good side - and that is what Everton are.
"I do not really understand why we can't win away, we just don't seem to be able to hang on to leads when we do score.
"Maybe it is a mental thing, but we just have to keep going and one day it will happen."