Sanjay is currently serving his three-and-a-half-year jail term in the 1993 Mumbai blast case.
"We are missing him a lot. My film 'Zanjeer' promotions have also started. I am heartbroken that Sanju sir is not here. 'Policegiri' is also a very big film for him and we are missing him a lot," Lakhia told reporters at the preview of the Sanjay-starrer "Policegiri" Thursday.
He added: "Everybody is writing letters to him... what else can we do?"
Lakhia admits that Sanjay's absence during promotional activities is seen as a loss.
"Sanju sir is a very big star. He is liked and respected by the people a lot. There is a loss when he is not there for promotions, but we can't help it. We have to do the best with what we have," said the director, who is also a close friend of the 53-year-old.
"Zanjeer", slated to release Sep 6, features southern star Ramcharan Teja in the role that megastar Amitabh Bachchan played in the original, while Priyanka Chopra has stepped into the shoes of Jaya Bachchan.