Oblak has been linked with a move to Manchester United from Atletico Madrid.
Reports claim the Slovenian has told the La Liga giants he wants to leave and Old Trafford is his preferred destination.
United stopper David de Gea is out of contract at the end of next season and has refused all offers of an extension.
Nicol cannot understand why United do not just give De Gea the wages he wants, rather than splashing out on a new goalkeeper.
However, he reckons Oblak’s supposed desire to join Manchester United means he knows De Gea is on his way out of the club.
“Why are you going out and spending €120million to buy this guy out?” Nicol said on ESPN FC.
“Why are you going and spending €120m on bringing somebody in to a different country, to a new team, a team that is going to be demolished pretty much and is going to have to add a lot of pieces?
“Why are you getting rid of one of the most important pieces in De Gea?
“So this is not about how good for me Oblak is.
“And I’m kind of surprised that Oblak turns round and says ‘I want to go to Manchester United’.
“Now, the only reason he’s saying that he’s he must know something, he must think and know that De Gea’s leaving.
“Otherwise he’s not coming out and saying that.
“Any team in the world would benefit from having Oblak.
“Instead of going out and spending another €120m on a goalkeeper, why don’t you make the guy you’ve got right now happy?
“A guy who questionably over the last six or seven years has been the best goalkeeper in the Premier League.
“Why do you want to make a change? I don’t understand that.”