Sanders sat on the bench in street clothes during Milwaukee's 102-96 loss to the Phoenix Suns, the Bucks' fourth straight loss at home.
There is no timetable for Sanders' return to the lineup. He has not played since Dec. 23, when the Bucks lost to the Charlotte Hornets.
"I haven't said anything like that," Sanders said to the Associated Press on Tuesday with regards to retirement talk. "I figure with the absence, something was going to come out like that. It's not true. What is true is I'm in the process of trying to do what's best for my psyche and my physical health."
Sanders signed a four-year, $44 million contract extension in 2013 and is averaging 7.3 points, 6.1 rebounds and 1.4 blocks in 27 games this season.
Sanders would not elaborate on what has kept him out of the lineup for the last seven games.
"I'm trying to get to the root of a lot of issues and get them corrected. Without getting them corrected, I don't think basketball is something I could do," Sanders said.
Milwaukee is 18-18 this season, 4-3 without Sanders in the lineup and sixth in the Eastern Conference.
- Scooby Axson