White has excelled since he arrived at Leeds from Brighton and Hove Albion in the summer transfer window, having previously done so in spells at Newport County and Peterborough.
Already, there is talk that the centre-back's latest loan spell could be cut short, with Premier League football awaiting at either Brighton or elsewhere.
And speaking to BBC Radio Leeds on Wednesday, Fry claimed he was always aware of White's potential.
"We tried to buy him, we tried to loan him, we tried everything," he said of the 22-year-old. "We've got good friends at Brighton - Tony Bloom there, the owner and the chairman - he said he'd let us know but obviously when Leeds come calling small fry Peterborough have got no chance."
Losing White would come as a significant blow to Leeds' promotion hopes, with only Liam Cooper and Gaetano Berardi left as orthodox centre-backs - although others can play there.
The Whites were linked at the weekend with a move for Daniel Ayala of Middlesbrough, whom it is claimed are ready to cash in on the Spaniard who is out of contract at the end of the season and know to Fry's Elland Road counterpart, Victor Orta.
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