I assumed at first Sleigh has to be in your hand for you to discard it and use its reaction ability. But nothing I've found confirms this. Its on-play effect even gains cards, which suggests that maybe you're intended to discard it in reaction to itself.
I looked at other reaction cards, and every other one states which zone to play/reveal it from, except Beggar, which up until Menagerie had no way of being in play when an opponent played an attack. Does that mean you can now react with Beggar while it's in play in response to a Black Cat?
And Market Square, which has the closest wording, specifies that you have to discard it from your hand. That seems to settle it, Sleigh works from in play (unless there's some rule that Reaction cards only work in your hand by default, in which case the wording is inconsistent).