The Black Cats made a £7.5m bid plus add-ons for the striker but the Foxes snubbed the offer.
As a result Sunderland's interest in Ulloa is now over and there will be no incomings today, according to several reports.
Sunderland transfers: Deadline day rumours rated
Mon, January 30, 2017
Football Whispers have rated Sunderland's chances in the transfer market ahead of deadline day (1 – unlikely, 5 – likely)
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Football Whispers have rated Sunderland's transfer chances (out of 5)
David Moyes has been left frustrated by the pursuit of Leonardo Ulloa
Manager David Moyes had been keen to strengthen his attacking options after Victor Anichebe was ruled out for up to 10 weeks with a knee injury.
Yesterday, Moyes raided his former club Everton for Brian Oviedo and Darren Gibson.
Sunderland face Tottenham in the Premier League this evening at the Stadium of Light (7.45pm).