Winger Sane has returned to Germany ahead of the 2020-2021 season, joining Bayern from Manchester City in a deal that could reportedly rise to £54.8 million ($100 million).
The Germany international won two Premier League titles, a pair of Carabao Cups and the FA Cup while at Pep Guardiola's City, but has moved to a Bayern side coming off a treble-winning season.
Scholl, who made 469 appearances for Bayern between 1992 and 2007, feels Sane, 24, needs to be aware of the expectations in his new environment.
"FC Bayern is a special club, there are special conditions," he told Bild.
"It's a different level, a different pressure. You have to be careful as a young player.
"If you appear with a certain arrogance, it will be difficult."
Sane made his first start in 13 months on Friday (AEST) when he lined up for Germany in its 1-1 UEFA Nations League draw with Spain.
His previous start was for City in the FA Community Shield in August 2019, when Sane tore his anterior cruciate ligament.
He played just 11 minutes for City thereafter and Scholl accepts it will take him time to get back up to speed with his new club.
"A bit of body language and posture are still missing. You have to give him the time to integrate with Bayern," Scholl added.
"Then he can become a really big guy. The basic DNA can be enough for world class."