The Southampton left back had been pencilled as a possible replacement for Robbie Ryan by manager Dennis Wise and the club were rumoured to be putting a deal together for the player. But depsite having played with Wise at Chelsea, Le Saux is set to shun Millwall's advances and see out the remainder of his contract at St. Mary's.
Le Saux' decision will come as a setback to Wise, after he failed to land West Brom's Neil Clement during the summer, and the Millwall boss will have to persist with either David Livermore or Josh Simpson at the back for this weekend's clash away to Coventry City.