Sancho is one of the hottest properties on the market ahead of the summer transfer window after another impressive campaign for the German club.
However, Dortmund value Sancho at more than £100m and Watzke is confident that he will remain at Signal Iduna Park beyond this summer.
"If Jadon approaches us and says he wants to leave no matter what - which has not happened so far - and a club wants to spend what we are asking for, we will discuss it," he is quoted as saying by The Mirror.
"But I don't think a club will pay the fee we want."
Meanwhile, it has been suggested that United are prepared to offload four first-team players to fund a move for top attacking target Sancho.