Bounedjah, who plays for Qatari side Al Sadd SC, has scored 26 goals in just 13 league games this season.
Le Buteur reported at the start of December that Leeds had decided to return with a larger offer for the Algerian they baulked at paying €15 million (around £13.5 million) for in the previous transfer window.
While as recently as Christmas Eve, Stad El Doha claimed that Leicester were close to a deal.
But Bounedjah looks set to remain an Al Sadd player for the foreseeable future, after signing up for five-and-a-half years in the Qatari capital on Friday.
Bounedjah was linked with a move to Lille when the Leeds manager Marcelo Bielsa was in charge there.
While Leicester have signed several of the 27-year-old's fellow Algerians in recent years - notably Riyad Mahrez, Islam Slimani and Rachid Ghezzal.
Would Bounedjah have been a good addition for Leeds / Leicester?
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