The Italian announced on Friday that he was willing to agree a takeover with supporters and forgo any profit.
The supporters' group said on Tuesday that they believed Cellino would sell them the club for £30m.
"We've been informed by the lawyers of Cellino he no longer wishes to sell to Leeds fans," LFU said in a statement.
"Our insistence on him confirming his verbal offer of exclusivity in a legally binding agreement has forced transparency on his motives. It is much better that we identify this insincerity now before we spend our shareholders' money.
"This exercise has proved our capacity to adapt to any acquisition scenario very quickly. We now know we have the capacity to do both a minority and majority deal, and it has shown that Leeds fans have a desire for fan ownership.
"We hope that Massimo will treat the club and fans with respect and honour."
Cellino, who is appealing against a second Football League ban, said at the start of the week he would no longer attend matches at Elland Road.
The Whites are 17th in the second tier after winning their first home match since 4 March against Cardiff on Tuesday.

Having made only three in the first innings, Cook was caught at mid-wicket for five off Jack Brooks (3-22).
Adil Rashid took 4-72 as MCC were bowled out for 220 in their second innings, despite Nick Compton's 74.
First-innings centurion Adam Lyth made 46 not out as Yorkshire eased to victory with a day to spare on 73-1.
Cook did not even manage a boundary in his last competitive knock before England head to the West Indies.
Last week, Yorkshire coach Jason Gillespie said Cook's inclusion in the MCC team was a "win-win for everyone".
The Essex opener went into the annual Champion County first-class fixture after making 35 in last Friday's T20 match against Sussex - his first competitive innings since losing the England one-day captaincy.
Having resumed on his overnight score of two, Cook fell to the first delivery of the day's seventh over as Brooks made the Tykes' first breakthrough.
MCC, who began the day on 13-0, recovered after losing Cook early as Michael Carberry (23), James Hildreth (49) and Compton gave them a second-innings lead.
But Rashid helped wrap up the innings and leave Yorkshire a victory target of only 70, which they passed with ease as Lyth hit seven fours in his 65-ball knock.

The four-match contest should have begun in Brisbane on Thursday, but that Test will now start on 17 December.
The traditional Melbourne Boxing Day Test is unchanged, but the Sydney Test is put back three days to 6 January.
The changes have been made because of welfare concerns for Australia's players grieving for Hughes, 25, whose funeral will take place on Wednesday.
The left-handed Australia opener died on Thursday after being struck on the neck by a ball during a domestic Sheffield Shield match.
The funeral service will take place in the sports hall of Macksville High School, which Hughes attended, and will be broadcast live in Australia and on big screens at the Sydney Cricket Ground and Adelaide Oval.
"Nobody should underestimate just what these players are going through right now," said Cricket Australia chief executive James Sutherland.
"These are difficult days and we need to support them in dealing with their grief. It's very clear that playing a Test right now is just too soon and we are reacting accordingly.
"While this wasn't done by design, it is somewhat fitting that the first Test will take place in Adelaide at Phillip's adopted home ground where we hope the match can be a seen as a celebration of his life."
The India squad, currently in Adelaide, were supposed to fly to Brisbane on Monday but missed their flight.
Their two-day warm-up match against a Cricket Australia XI in Adelaide, scheduled for Friday and Saturday last week, was cancelled.
It has been reported that the Indians may now play a tour game in Adelaide on Thursday and Friday.
After the Test series with India, Australia then face the tourists in a triangular one-day international series that also involves England.
Two of those games have already been switched.
Australia and England will now open the series in Sydney on 16 January, with the Aussies taking on India in Melbourne two days later.
Leeds United chairman Massimo Cellino has told Leeds Fans United he no longer wishes to sell them his majority stake in the club.
[NEXT_CONCEPT]
England Test captain Alastair Cook suffered his second failure of the match as county champions Yorkshire beat MCC by nine wickets in Abu Dhabi.
[NEXT_CONCEPT]
Australia's Test series with India will now begin in Adelaide on 9 December following the death of Phillip Hughes.