Northern Ireland international Feeney, who worked under Newell at Luton, spoke to the Mariners about a move to Blundell Park but Newell revealed that his club had been priced out of a move for the 28-year-old.
Newell, who expects Feeney to sign for Leeds, told the Grimsby Telegraph: "I did have a number of conversations with Warren and he was interested in a move here - he was seriously considering it.
"But when Leeds showed an interest it was hard for us to compete with their financial resources. Had we been able to get to their level we would have had a good chance of signing Warren, but ultimately it was difficult for us to match them."
Meanwhile, Newell has turned his attentions elsewhere and will run the rule over Swansea starlet Chris Jones.
The highly-rated 19-year-old striker is set to train with the club over the next few days.