The Armenia international is being made available for transfer by United after a falling out with manager Jose Mourinho.
Mkhitaryan has been linked with a return to BVB, having left for England 18 months ago.
Asked about the prospect, Watzke said: "I know like no other the economic data of his transfer to Man United. And that's why it's imaginable only with a lot of imagination."
The chief exec's comments are being interpreted in Germany as encouraging United to keep their terms realistic if they wish to negotiate.