The former Aston Villa striker requested an interview with a view to managing the Villans.
Yorke played for Villa for nine years, having arrived at Villa Park from his native Trinidad & Tobago in 1989.
However, his only coaching experience to date was gained during a brief spell as his country's assistant manager.
Villa sacked Roberto Di Matteo after four months in charge at the start of October, but later appointed Yorke's former Birmingham City boss Steve Bruce as the Italian's replacement.
And the 44-year-old has admitted to approaching Keith Wyness, Villa's CEO, regarding the vacancy - with an endorsement at the ready from Sir Alex Ferguson, Yorke's manager at Manchester United.
"I asked for it, I asked for an interview, I wasn’t on the shortlist," the former striker told Talksport. "I spoke to Keith via text and he was like: 'no we’re not interested'.
"I said: 'okay, not even an interview?' And I have someone like Sir Alex, who is ready to endorse you as well."
Although disappointed at what he perceives to be a lack of opportunities for minority coaches, Yorke, however, does not begrudge Bruce for getting the job ahead of him.
"I’m not disappointed with the appointment, when you look at what Steve has done in the game," he added. "But the fact that they’re not prepared to listen to you is more of a concern."
Bruce has been promoted in each of his last four campaigns at Championship level, twice apiece with Birmingham and Hull City.
The Villans are currently 20th in the table, having recorded just one win in 12 outings so far.