Dennis Wise had hoped to persuade City to confirm a deal but Sky Blues boss Micky Adams told BBC Coventry and Warwickshire: "Let's just say Dele's unsettled.
"I don't know if that's because of the speculation or what his agent is filling his head with. Perhaps he feels his career is best served elsewhere.
"But at the moment it does not serve Coventry City, Micky Adams or the supporters for Dele to go anywhere else at present."
Adams also revealed that Leeds did not enquire about midfielder Stephen Hughes.