Donnarumma has been lambasted this week for his role in PSG's elimination from the UEFA Champions League.
The Italian international was dispossed by Karim Benzema leading to Real Madrid's equaliser in an eventual 3-1 defeat on Wednesday.
Donnarumma run down his contract at AC Milan last summer before joining PSG as a free agent, signing a five-year contract at the Parc des Princes.
Sacchi however believes Donnarumma should have stayed with Milan.
"He made a mistake in choosing the money," Sacchi told the Corriere della Sera.
"I also told his father and mother, last summer, here in Milano Marittima. Stay at Milan not so much for gratitude, but because it was the ideal place to grow.
"Never leave the places where you feel good. But he remains a great champion, I have known him since he was little more than a child, in the youth national teams."
Sacchi added on PSG's latest European disappointment: "It is not a project. As George Bernard Shaw said, football is the art of compressing universal history in 90 minutes. In football, as in life, talent is not enough.
"Money is not enough. It is the group that wins, never the individual. The game and the organisation are like the plot for a writer and the score for a musician.
"The secret of everything is ideas. Anytime, anywhere. And I see few ideas at PSG."
Donnarumma has kept eight clean sheets in 18 appearances for PSG this season.
