The Blues boss had hoped to complete the signing of the 23-year-old midfielder before the transfer window closes later today (Tuesday).
However, McLeish has now resigned himself to not completing the deal blaming a lack of transfer funds, agents fees, wage demands and how the transfer payments were to be made, etc. etc.
"We couldn't get the Michel deal over the line which is a shame because I believe he is a very good player who would have enhanced our team," McLeish has said.
"It would have been a much-needed boost to the squad if we could have got him in.
"The stumbling block has been about money, about payments and the way they are made, agents, everything came into it.
"The club had stated their stance on it from day one and they haven't wavered on that.
"We were hoping to tidy things up at the Sporting Gijon end but it wasn't to be."