Sancho appears to be on his way out of Signal Iduna Park, with a recent report claiming that BVB were prepared to accept an initial £60m fee for the 20-year-old.
According to Bild, the Bundesliga giants are already preparing for life after the former Manchester City youngster, identifying Depay as a potential signing in a £40m deal.
The report claims that the Netherlands international is keen to leave Lyon ahead of the 2020-21 campaign and is open to joining Lucien Favre's side in the summer market.
Depay turned out for United between 2015 and 2017 but struggled to make his mark for the Red Devils, managing just seven goals in 53 outings before moving on.
The 26-year-old has impressed since arriving in France, though, scoring 53 goals and registering 43 assists in 135 appearances in all competitions.