Feeney, 28, revealed he was heading for talks with Leeds earlier in the week and is understood to have had a medical.
Grayson said: "I've spoken to 10 or 15 players and Warren Feeney is just one of them, but as it stands he won't be a Leeds United player."
Grayson added: "I don't take a lot of notice of what's said and what isn't. I take no notice of rumours because I know what's going on better than anyone else and I don't comment on speculation.
"I comment on deals when they are ready to go. I know how much work it takes to get things done and what I work on I try to keep out of the media.
"We knew there would be a lot of rumours and speculation all over the summer, but as it stands there is one in - Jason Crowe - and Peter Sweeney has gone. There's been no more departures and no new signings, contrary to what people have been reading about."