Well, it sucks big time, but sometimes, it makes sense. In your case, Dortmund is a way bigger club, so he'll gladly take a paycut in order to play there, as opposed to you, where he'll need large wages in order to even consider you. (AS Monaco FC IRL is an example)
But yeah, in general, Human controlled teams are discriminated upon regarding wages. Agent relationship with you matters a lot. Schurrle's agent was friendly with PSG, and I was United. Inspite of him having a preference to play in England, his agent wanted 170k $ p/w for him. I turned him down, whereas PSG got him for 70k p/w :\