Nuno's Bramall Lane counterpart, Chris Wilder, confirmed the Blades had placed a bid for the centre-back or central midfielder on Wednesday, but this has since been rejected by Wolves.
Wolves' Conor Coady (centre) with new Blades recruit Richard Stearman (right)
Coady, who spent the 2013-14 season on loan to Sheffield United, is out of contract at the end of the current campaign, which appeared to offer hope to prospective suitors that he could be sold this summer.
But the 24-year-old will not be leaving Molineux, according to his manager, who told The Express & Star: "Conor is going to stay with us," before declaring the matter "finished".
Coady captained Wolves to victory against Middlesbrough on Saturday, and the report claims they hope to tie him to a new deal in the coming weeks.
Blades boss Chris Wilder
And Wilder's side could intensify their pursuit of the pair in the wake of Friday's developments.
Who should Sheffield United sign in place of the Wolverhampton Wanderers man?