United have made the 20-year-old their number one target this summer.
Although the Premier League club have agreed personal terms with Sancho, they are finding it difficult to strike 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.
“Also not indirectly or through alleged intermediaries.”
Sancho has returned training this week with Dortmund, along with new boy Jude Bellingham who signed from Birmingham City.