Sancho moved to Dortmund from Manchester City last season, and has become on of the club's top contributors this season. He was recently rewarded with a new contract.
"I'm not wasting any thoughts on a change," Sancho said tp 'Bild'.
"I owe a lot to BVB and I have a lot in mind with this team. I'm happy here and did not sign for so long for nothing."
Sanco faces the biggest game of his career to date on Saturday, as Bayern Munich are welcomed to Signal Iduna Park.
"By giving everything and giving our fans full throttle, we know how strong the Bavarians are but we also know we can beat them if we have a good day, especially at home," he added.
"We have respect for them but also a lot of self-confidence and we all stick together."