I heard the master of a cambridge college say he thought colleges
there and at oxford were each owned by the master and fellows. If so,
are they subject to restrictions or any higher authority, or could
they, if all agreed, sell the college to some wealthy company or
individual?

Oxford is an independent and self-governing institution, consisting of
the central University and the Colleges. ...
  The thirty-nine Colleges, though independent and self-governing,
form a core element of the University, to which they are related in a
federal system, not unlike the United States. In time, each college is
granted a charter approved by the Privy Council, under which it is
governed by a Head of House and a Governing Body comprising of a
number of Fellows, most of whom also hold University posts. There are
also seven Permanent Private Halls, which were founded by different
Christian denominations, and which still retain their religious
character.
http://www.ox.ac.uk/aboutoxford/structure.shtml

The University has had records ever since it acquired a corporate
identity in the early 13th century ...
  Twyne carried out most of the research in the Archives necessary for
the compilation of the new University Statutes (the 'Laudian Code')
which were approved in 1636; he also prepared the University's
petition to Charles I for the 'Great Charter' of the same year.
http://www.oua.ox.ac.uk/history.html

The key point there is "charter approved by the Privy Council" -
effectively the Government. The university operates under those
charters and the provisions of statute law, and whilst the university
might be able to sell out to a private organisation it could only do
so if it already has the power to do so under its charter. It probably
does not.

Owain