The Manchester-born heavyweight has been outspoken at times during his career, with his ire aimed at several fighters he has never fought, including David Price and Ukrainian brothers Wladimir and Vitali Klitschko.
However, Khan, who will fight Julio Diaz in Sheffield on April 27, said that he thinks that Fury should just think about improving his in-ring skills before verbally jousting with anyone.
"I think Tyson is a great fighter, but for him to go there and hype himself up could be a bad thing. If I were him, I'd stay quiet and show off my skills," Khan is quoted as saying in the Daily Mirror.
"People will respect him more if he wins the fight with a good performance instead of talking big. Floyd Mayweather has a way of going crazy, Zab Judah is the same and so was Muhammad Ali, but with Tyson Fury, he hasn't proved anything or won anything big yet.
"If he is talking big like he's a world champion already or the best pound for pound fighter in the world, people are going to hate on him and that could be a bad thing.
Fury's squares off against Steve Cunningham in New York on Saturday.