The former AC Milan and Inter Milan boss moved to his new role at the French club earlier this summer but does not see himself stepping back into a coaching position.
He told www.ligue1.com: "I am not there to put pressure on the coach by saying, 'I have spent millions bringing in new players'.
"The coach has a different role to play and I am there to support him. He can't operate alone; he needs a structure supporting him. We need to give him every chance to be able to carry out his job properly."
Leonardo added: "I think it's perhaps true to say that I never really dreamed of being a coach. I am happier in the role of sporting director, although that's not to say I have given up on coaching."
Leonardo has overseen an influx of new players since being appointed by the club's new owners soon after the takeover, bringing in the likes of Javier Pastore, Jeremy Menez and Kevin Gameiro.
And he hopes it will not be long before the team is challenging for European glory.
The 41-year-old said: "It's been a big change for everyone. The club has been sold and is now in transition. Throw in the history that the club has and it has all created such big expectations."
Leonardo added: "PSG is a big club because it has the whole of Paris behind it.
"But they have won only two titles in 41 years. No other club from a major European capital has had so little success.
"And they are the first and only team in the city. There are other capitals with two or more clubs.
"But PSG have not enjoyed much success - one Cup Winners' Cup, and then a few French Cups and Coupe de la Ligues. That is not good enough."