"I think he's crazy if he goes to Man United," Nicol told ESPN FC.
"We're talking about he's struggling in a team that's struggling [Dortmund] - Man United are going to be struggling for a couple of seasons, so I would stay away from there."
And Nicol also doesn't see Sancho joining his former club.
"Well if I was advising him, let me put it that way, I would like to see him at Liverpool," Nicol added.
"I think he would be fantastic. If he could get his head round playing second fiddle to [Sadio] Mane and [Mohamed] Salah, then that would be huge for Liverpool in my opinion.
"They could save the legs of both of those two and kind of swap the three of them in and out.
"But he's not going to do that, he's going to go somewhere to play. So I think Liverpool's out."