The winger - who won the PFA Young Player of the Year award and was involved in 33 goals in competitive matches in the 2017-18 season - spoke of his disappointment in a Twitter post on Tuesday and vowed to "bounce back stronger".
De Bruyne believes Sane has established himself as one of the hottest prospects in world football under the guidance of Pep Guardiola, and is therefore surprised to see him miss out.
"I didn't talk with him yet, it just happened, obviously," said the Belgium international.
"I just want to give him some space because I don't think he thought he wouldn't be in the squad.
"For me he has been the best young player this year in the whole world, so you can see how I rate him.
"In the end I don't know what happened in Germany, maybe there was an issue between them [Sane and Low]. We'll never know, I guess."
"I'm very close to Leroy at Manchester City," Walker told reporters.
"Obviously the Germany manager had very different ideas to me, I'm not the manager.
"But I think the season he had in the Premier League, to win the Young Player of the Year, I thought he probably did deserve, in my opinion, to go to the World Cup and showcase his talent. But it wasn't to be.
"He's got plenty more years and plenty more World Cups to come, so hopefully he goes to one of them."