The Belgium international spent two seasons at Old Trafford, before leaving to sign for Antonio Conte at Inter this summer, while Pogba's long-term future is unclear having recently said it was time for a "new challenge," and sources have told ESPN FC the Nerazzurri are also keen to sign Sanchez.
And Lukaku said the trio were the targets for blame during a difficult 2018-19 campaign for United.
"They have to find somebody [to blame]," Lukaku said on the LightHearted podcast. "Either it's Pogba, me or Alexis.
"It's always the three of us. So, for me, I just see it in many ways: a lot of people don't think I should be part of that system, that's my feeling. The conversations that I have, I just know. What makes me laugh is: how is s--- going bad with my team but, with my national team it's good?"
Lukaku, 26, also said one of the main reasons behind his exit from United was he felt a lack of protection.
"A lot of stuff was said: 'Rom's going to go there, the coach doesn't need him anymore, they want to sell him,'" he added. "That was about for a good three or four weeks.
"I'm waiting for somebody to come out and shut it down. It didn't happen, and then I had my conversation and I told him what I said. I told him it's better to go our separate ways, because if you guys don't want to protect somebody but you guys say you want to keep him, if all the rumours come out -- I just wanted a bit of protection.
"It never happened. All I heard was: 'He's got to go, he doesn't deserve to be there blah blah blah.' If it's like that so be it, I want to go now."
At Inter, Lukaku will play under Conte, who he recently described as "the best manager in the world," and said the Italian has tried to sign him on several occasions over the past six years.
"Antonio Conte wanted me bad -- he even wanted me when was at Juventus in 2013," he said. "We have a really good relationship, we have the same agent.
"His playing style, for his team, he needed me."