Haaland is attracting attention from top clubs across the continent ahead of the summer transfer window after an outstanding 2020-21 campaign at Westfalenstadion, goal.com reported.
Watzke claims Dortmund has not given any thought to selling the Norwegian, but does admit that Sancho could end up leaving if the Geraman club receives a suitable bid when the market reopens.
"We do not have a parallel plan. We will discuss this with Erling, his father and his agent Mino Raiola," Watzke told Goal and DAZN. "We also want him to be happy to stay with us, to score goals for BVB next year with conviction. There is no alternative plan."
Pressed on whether Haaland and Sancho will both still be on Dortmund's books in 2021-22, Watzke responded, "I'm not getting involved in probabilities, it's no good. Jadon Sancho has been with us much longer than Erling Haaland. We'll have to speak to Jadon too.
"If there is an exceptional offer we will discuss it with the player and the agent, as always. Nonetheless, I am very sure that the transfer market will only run to a very limited extent this summer.
"Especially at the really big clubs you can see what kind of wounds coronavirus has inflicted, and they are not small ones that heal within two weeks."
Last week it was reported that Haaland's agent traveled to Spain with his father Alf-Inge to sit down with officials from Barcelona and Real Madrid.
It has been suggested that the two men will also hold meetings with a number of Premier League clubs as they weigh up the best move for the 20-year-old striker.
Manchester City, Manchester United, Chelsea and Liverpool have been strongly linked with Haaland, while Paris Saint-Germain and Juventus have also been tipped to try and bring him in this summer.
Sancho was in a similar position to Haaland last year, having been touted as United's No. 1 transfer target amid the club’s search for a natural right winger.
The Red Devils ultimately refused to meet the £100 million ($139 million) asking price, but recent reports have stated that they are preparing to reignite their interest in the England international.
Sancho is approaching the final two years of his contract at Dortmund, and his stock is not quite as high now as it was in 2020 after an up and down season at Westfalenstadion.
The German giant might be tempted to cash in on the 21-year-old later in the year as it tries to balance the books amid the coronavirus crisis, especially if it fails to qualify for the Champions League.