Manchester City winger Sane has been heavily linked with a switch to Bayern, who are seeking to improve their wide options due to the imminent departures of experienced duo Arjen Robben and Franck Ribery.
Bayern president Uli Hoeness said it would require an "insane" sum to buy Sane, though, while chairman Karl-Heinz Rummenigge indicated the 23-year-old needs to decide for himself whether he wants a move.
Sane, who joined City from Schalke for a reported initial fee of £37 million ($47m) in 2016, scored 16 goals in all competitions for the Premier League champions last term but only started 21 top-flight matches - six fewer than in the 2017-18 campaign, as he seemingly lost Pep Guardiola's trust.
But even if it might damage Dortmund's chances of unseating Bayern at the summit, Watzke feels Sane's arrival would benefit the Bundesliga.
"Because that would further increase the appeal of the league."
Dortmund have added to Lucien Favre's squad for the 2019-20 season by signing Thorgan Hazard, Nico Schulz and Julian Brandt, although Christian Pulisic has left for Chelsea.
Mario Gotze has also been touted for a possible switch to Arsenal, but he has remained coy on speculation.
BVB narrowly missed out on Bundesliga glory in May, finishing two points behind Bayern having led the table for much of the campaign.