The English side have made the 20-year-old their first target this summer.
Even though Manchester United have agreed personal terms with Sancho, they are finding it difficult to secure a deal with Dortmund.
The Bundesliga side value Sancho at around £100m, but United are not willing to go above £80m.
Speaking to Süddeutsche Zeitung, Watzke claimed the two clubs have not yet discussed any move for the player.
“So far, there has been no contact between Borussia Dortmund and Manchester United in terms of Sancho,” he said.
“Also not indirectly or through alleged intermediaries.”