The left-back, who was a free agent following a parting of the ways with financially troubled Siena earlier this summer, has opted to sign for Serie B side Pescara on a two-year deal.
However, Grillo had other options and Leeds offered the chance for him to ply his trade in England.
And the 27-year-old was in serious talks with United before deciding that uprooting his family to move to another country was a step too far when an offer from Pescara was on the table.