After a slow start to the campaign amid talk of a move to Manchester United falling through, Sancho's form has picked up of late and he is on course to hit double figures for goals and assists for the third Bundesliga season running.
The England international last week registered his 50th assist in the German top flight, becoming the youngest ever player to do so in what was his 99th appearance in the competition.
Sancho has now been directly involved in 12 Bundesliga goals in 2021 - six goals and six assists - which is behind only Bayern Munich striker Lewandowski (11 goals and two assists).
In Europe's top five leagues, Barcelona forward Messi (15) is the only other player to have been directly involved in more goals this calendar year than Sancho, who is level with Atalanta's Luis Muriel.
Lehmann has been impressed by the 20-year-old's form and has backed the youngster, as well as compatriot and BVB team-mate Jude Bellingham, to remain in the Bundesliga, despite ongoing talk of a possible move to the Premier League.
"He's done very well," Lehmann told the Daily Star. "Right now his stats can be compared to Lionel Messi and Robert Lewandowski, and I think the third-best in the whole of Europe. It's fantastic for English football."
Asked about the future of Sancho and Bellingham, Lehmann said: "Right now, I think they're staying. Most of the big clubs have full squads anyway.
"You'd have to be really, really outstanding if a bigger club tries to get you. But if you can imagine a club like Chelsea, Manchester United or Manchester City, there is already 30 or 35 players plus the players on loan.
"It's not that easy to make a decision for guys like Bellingham and Sancho at this early stage in their careers. Would they add something? We're not sure, but first of all they need to decrease their own squad size."
Sancho, who scored the winning goal for Dortmund in their DFB-Pokal win at Borussia Monchengladbach on Tuesday, is a major doubt for this weekend's Der Klassiker showdown with Bayern due to a leg injury.