Javier Aguirre's side took the game to their Basque opponents, pinning them in their own half during the opening 10 minutes – Simao going close with an early free-kick.
Athletic then settled into the match and should have had a penalty when Diego Colotto handled in the penalty area, though the referee waved play on.
Athletic continued to play the better of the football but were soon behind in spectacular fashion.
Sanchez latched onto a lofted ball over the top of the visitors' defence, volleying it over goalkeeper Gorka Iraizoz from outside of the penalty area.
The game then began to open up with both sides trading blows, but were unable to find that decisive killer ball.
However, with just two minutes to go in first half, Athletic were level. Benat and Mikel Rico combined well down the left with the latter finding Oscar de Marcos in the penalty area – the winger finding the back of the net from close range.
The two teams emerged for the second half and with just four minutes gone on the clock Sanchez grabbed his second of the game.
A slick passing move opened up the visiting defence as Sanchez raced through on goal to slide the ball past Iraizoz.
The game was soon put to bed as Sergio Garcia headed home from close range despite Iraizoz's best efforts to keep the hosts at bay – pulling off two excellent saves but unable to deny Garcia.
Ibai Gomez scored a late consolation goal with a splendid free kick but it was too little, too late.