The 27-year-old striker has scored eight goals since joining the Lions at the beginning of the season.
Millwall boss Kenny Jackett wanted to keep Kandol at the New Den but says his efforts were in vain.
He said: "It looks unlikely he will stay with us and we have made some enquiries about it. He has had a good first-half of the season with us and we are very pleased with him. We will just have to see what happens in the next few weeks regarding him and Leeds."
Simon Grayson has yet to indicate his preference over a forward who still has more than two years left on his contract, but surely he will be loathe to leave him with United's promotion rivals unless they come up with a big money offer that gives United a profit on the £250,000 they paid Barnet.