After a stellar season at Klopp's former club Dortmund last season, England winger Sancho has had a more difficult spell in November, taken off in the first half in a 4-0 defeat to Bayern Munich before he started on the bench against Barcelona in a crucial Champions League match.
Under-pressure Dortmund coach Lucien Favre claimed he preferred to select players who are "focused and ready", though Sancho then scored after he was brought on in a 3-1 defeat at Camp Nou.
However, rumours of a return to England for the former Manchester City youngster, who joined Dortmund in 2017, have persisted, with Liverpool the most recent team to be heavily linked.
Dortmund's sporting director Michael Zorc said he does not expect Sancho to leave in January, and Klopp insists any speculation of Liverpool moving for the teenager is not surfacing from Merseyside.
"He's a very good player," Klopp said of Sancho in a news conference ahead of Liverpool's derby clash with Everton.
"I have no clue where these kind of things [the rumours] are coming from, but it cannot come from us because we never speak about it.
"If we would be involved, nobody would know about it apart from a person who wouldn't speak about it. There's nothing to say. I know how it sounds, but I cannot change that.
"There's nothing to say about it, which can mean there's absolutely nothing to say about it."
Reports have suggested Dortmund could value Sancho – who has scored seven goals in 19 appearances in all competitions this season – as high as €140million (£120m).
"That's one issue, 100 per cent an issue," Klopp said when asked if Liverpool would be able to afford such a high fee.
Klopp did, however, acknowledge Liverpool, eight points clear at the top of the Premier League, may attempt to bolster its squad in January.
"We don't speak about it, but we are pretty much always ready to do something if it will help us," Klopp said. "If not, then not. We will see. I think the summer window is more difficult because of the different moments when it closes in Europe.
"That makes it really difficult. We will see how that will be in the future. The summer window only hurts the English clubs."