The Armenia international's future is the subject of intense speculation as a result of his failure to nail down a place in Jose Mourinho's plans at Old Trafford.
The 28-year-old managed substitute appearances in the EFL Cup loss to Bristol City and the 2-2 Premier League draw with Leicester City in the past week, but he has not started a top-flight match since the 1-0 loss to Chelsea on November 5.
Mourinho accused Mkhitaryan of "disappearing" in games and appeared to cast further doubt on his future when he suggested he would not stop players from leaving in the transfer window if they asked for a move.
Dortmund have been linked with a move to bring the attacking midfielder back to the Bundesliga, just 18 months after they sold him for a reported £27 million fee, but chief executive Watzke believes a financial mismatch between the clubs would likely scupper any potential deal.
"I know the economic details of his transfer to Man United like nobody else," he told Bild am Sonntag. "That's why [his return] is only conceivable with a great deal of imagination."
Watzke did suggest, however, that he would be prepared to allow Andre Schurrle to leave if the Germany international requests a transfer.
"I've only heard that the agent thinks Andre needs more game time, so if a player desperately wants to leave, we'll discuss it with his agent," Watzke said of the forward, who has made only four Bundesliga appearances this season.
"But that hasn't happened yet."