Few figures connect the two clubs quite like Sanz, who left Real Madrid - the club of his boyhood and his father's presidency - after growing tired of the scrutiny that came with being Lorenzo Sanz's son, before finding a second home in Málaga, where he made more than 200 appearances, captained the side, won the club's only major European title and later became owner and president, rescuing the entity from financial ruin.
Asked whether being the president's son had taken a psychological toll during his playing days, Sanz did not hold back.
"It became unbearable, and that's why I had to leave the team of my life while I still had a contract. Back then nobody talked about mental health, but carrying that every week was very hard psychologically, and there came a point I couldn't take any more," he told AS.
"I never understood why they treated me like that when I gave everything for the team while being the worst paid."
The pressure, he said, came from every direction - fans, media, and rival club politics that used him as a proxy in battles against his father - despite strong individual performances, including a Champions League semi-final against Borussia Dortmund.
Málaga offered a different reception entirely.
"I arrived with some reluctance from the fans, which was understandable, but they started to see me as a footballer, as someone who always gave everything, and they began to love me. They gave me affection when I needed it most, and that's why I never left despite having better financial offers elsewhere," Sanz said, recalling his goal against Real Madrid at the Bernabéu on 8 September 2001 as one of his most treasured memories: "It was my first goal in the top flight, and it came at the Bernabéu against Madrid. Life's ironies. I celebrated it out of respect for my fans, because it meant a great deal to me."
Turning to the current squad, Sanz admitted Rodri's move to Barcelona still stung.
"It would have been a great signing for Madrid. I didn't understand it, but hearing Mourinho say he had doubts about coming, I understand it now."
He reserved his warmest praise for two of the club's new arrivals.
"Cucurella - everyone is very fond of him for his character and the way he carries himself, aside from how good he is on the pitch," he said.
On Espí, the Levante academy product now at the Bernabéu, Sanz was similarly bullish: "From the moment I saw him arrive I said the goals were going to come. I don't want to say he's a new version of Joselu, but he is the type of striker Madrid needed. He has quality, talent, youth, ambition and a nose for goal. I'd bet he scores more than 20 across all competitions."
He also expressed continued faith in centre-back Dean Huijsen, who has spoken of wanting to honour the number four shirt once worn by Fernando Hierro and Sergio Ramos:
"I still trust him a great deal. His adaptation season was difficult, but with the experience he's built up, he's going to take a real step forward. He's evolved, he hesitates far less than before."
Asked if Jose Mourinho was the right man to lead the club, Sanz was unequivocal: "I like the Mourinho I'm seeing in his public appearances, and I hope he leads Real Madrid back to winning trophies."