It does seem as though his future lies away from Germany.
Speaking yesterday, Bayern Munich president Uli Hoeness said that he believes Thiago may already have a deal agreed with either Liverpool or United, even though neither club has approached his club directly.
Dortmund all but secured a second-round spot in the first half with Manchester United target Jadon Sancho converting a 14th-minute penalty for the opener and 17-year-old Bellingham, who joined from Birmingham City in the summer, doubling the lead in the 30th.
"It is a hard situation. Some days later, he said: 'I am looking for a new challenge.' Which is totally okay", Hoeness told Sport1-Doppelpass.
However, Manchester United don't think they are in the running for the player.
Gareth Bale does not want to leave Real Madrid on loan because they have found ways to offload him
"From my point of view, that has no style".
According to the former Bayern Munich chief, the club offered the former Barcelona star a great four-year contract extension but to their surprise, he made a last-minute change of mind to turn down the offer with a decision to leave the club.
Holders Bayern Munich play their first-round game against Dueren on October 15.
Rumours linking him with United have always been less concrete and the Red Devils' signing of Ajax midfielder Donny van de Beek suggests such a move may be unlikely.