The midfielder is on the brink of a £25m switch to Dortmund, where his older brother, Jude, spent three years before joining Real Madrid.
Gabbiadini told BBC Sport: "The Bundesliga is somewhere between the Championship and the Premier League.
"It's a way of stepping up, maybe a little bit of less pressure. There are some financial advantages of going abroad as well."
A good Sunderland spell
He also said: "It was a bit of a surprise when he came to Sunderland. Not because we weren't a big enough club, but because he was such a hot talent.
"Birmingham were in a similar position to us in the league, it wasn't a massive step up at that stage.
"He's been very good for us. Do I think he's as good as his brother? Not from what I've seen so far, but there is nothing wrong with that.
"If he's 80% as good as his brother, he will still be a very good footballer. So in some respects, let it be, let it progress as he wants."