Blackpool Boss Colin Hendry made an approach for the Millwall midfielder and Lions manager Colin Lee agreed to the deal, but the player wanted to stay at the Den.
Hendry told the club website: "We had agreed all the finances with Millwall. We were under the impression he was desperate to play first-team football and we were prepared to give him that opportunity.
"But Colin Lee rang me and told me that Sammy did not want to come to Blackpool."
Sammy Igoe signed in the summer under ex-manager Steve Claridge and has struggled to secure a spot in the Millwall first team.