Adolphe Sax arrived in Paris in 1842, when Chopin had been living in Paris for some years. Both Chopin and Sax lived in Paris until 1849, when Chopin died.
It seems highly likely that Chopin heard saxophone or was at least aware of its existence. The saxophone was patented by Sax in 1846, 3 whole years before Chopin died. To make matters more convincing, Berlioz, a friend of Chopin, wrote a highly approving article about the saxophone around the time that Sax arrived in Paris (1842).
Does anyone know of writings by Chopin where he discusses his feelings about the new instrument? I imagine there's got to be at least a sentence or 2 about it in a correspondence between him and Berlioz.
Sure, this isn't really a practically useful question, but as a classical saxophonist, I can't help but wonder about stuff like this :)
Edit: It's worth pointing out that Berlioz wrote saxophone into his 1844 arrangement of Chant Sacre, so if Chopin went to the premier concert (conducted by Berlioz), that would be the same as knowing that he heard saxophone.
Just to be 100% clear, I know that Chopin certainly never considered writing for the saxophone, as his interest was (very) firmly in solo piano rep. I'm just wondering if he ever heard a saxophone being played and, even better, if he ever mentioned it in writing.