The Portugal Under-21 international has moved to Milan instead, where he has scored six goals in 31 Serie A appearances this season.
According to Calciomercato, Wolves kept an eye on Leao during his first campaign in Italy.
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They report that striker Jorge Mendes’ agent has made a ‘proposal’ to Wolves and Atletico Madrid over a potential deal.
But Leao appears to have poured cold water on suggestions he might be on the move with a social media clue.
“I am finishing my first season at this great club with a victory, we will go more next season,” he said on Instagram.
Napoli and Juventus have also been linked with Leao, who cost Milan € 30m (£ 27m) last August.