The 25-year-old Brazilian completed a £200m switch from Barcelona to the Parc des Princes on Thursday in a deal that more than doubles the previous world transfer record.
"I am afraid, I am uneasy and I do not know where we will reach when it comes to future transfer fees," Monchi is quoted by Marca as saying.
"I do not want to think that we are building a bubble that will explode at some point, like the real estate one that has damaged the world economy.
"My history has been not to buy expensive players and I'm afraid of this millionaire show at a time when many people are struggling to get ahead. Football should be a reflection [of society] and sometimes it is not."
PSG's previous record buy was the £54.8m acquisition of Edinson Cavani from Napoli in July 2013.