Coleman had expected the USA international to complete a move to Loftus Road but the player is now set to join Manchester City on successful completion of a medical on Friday.
A statement on the club's official website reads: "Fulham FC can today confirm that Sunderland midfielder Claudio Reyna will not be joining the club.
"After the player had successfully passed a medical and agreed personal terms with Fulham, Sunderland AFC decided that it was not satisfied with the previously agreed transfer fee for the player and had accepted a higher bid from Manchester City, which both the club and the player found to be more agreeable.
"Chris Coleman and officials at the Club are obviously very disappointed with this outcome."