The Armenia international has not started a game since early November, and reports had suggested that Dortmund were hoping to capitalise on his unhappiness at Old Trafford with a January bid.
However, Watzke has now suggested that the Bundesliga outfit would not be able to afford Mkhitaryan, with United thought to be holding out for a bid of at least £35m.
"I know the economic details of his transfer to Man United like nobody else," Watzke told Bild when asked about the rumours.
"That's why [his return] is only conceivable with a great deal of imagination."
Mkhitaryan spent three years with Dortmund, scoring 41 goals in 140 games during that time.