If the sheets are intended for the same instrument you have, then they were presumably written with that fact in mind.
The part for each instrument should be written in such way that they sound in the same key. If it means that they need to be written in different keys because one instrument transposes and another doesn't, so be it.
I'm not familiar with tenorTenor sax but I'm reading that it transposesis a B flat transposing instrument, transposing down by a ninth, so if the sheet music is written in A major, it should playwill sound in concert G major. So the chords for guitar to accompany this should be denoted in G major - or in whatever the guitarist is supposed to play "as if" if using a capo.
If you have sheet music for tenor sax and you try to play it as written on another instrument, then the whole song will sound in a different key than it was meant to (most likely the one denoted, unless you play an instrument that transposes in a different way). This is not really a problem if you play the sax line solo, but if you play together with someone else (or combine parts that were written for sax and e. g. guitar together - say, to play both on a piano), you'll need to account for it and transpose one of the parts accordingly.