The 22-year-old was widely expected to be included in Joachim Low's setup given how impressive he was during City's Premier League title-winning campaign.
Sane scored 14 goals and created 19 assists, but he was the surprise omission from Low's 23-man squad for the tournament, which gets underway in Russia on June 14.
The City attacker has not spoken directly about the snub, but he did leave a comment on the Instagram page of club teammate Kyle Walker, who expressed his shock in Sane being left out.
A post shared by Kyle Walker (@kylewalker2) on
According to The Mirror, Sane responded saying: "Well u're lucky that u don't have to play against me bro @kylewalker2."
Sane played more than an hour of Germany's 2-1 defeat to Austria in an international friendly last weekend.