Manchester City reportedly saw a bid for Palmeiras attacker Wesley in the latter stages of the summer transfer window knocked back by the Brazilian outfit.
The 22-year-old came through the youth system at Palmeiras and has made 61 appearances for the White and Greens in all competitions, contributing eight goals and eight assists in the process.
According to Sport, Man City attempted to sign the Brazilian before the transfer window closed but were informed that he was not for sale.
The report claims that the Citizens had planned to loan Wesley out to one of their sister clubs if they managed to complete a deal before the transfer window slammed shut.
The attacker still has more than three years left to run on his current deal, placing his Brazilian club in a strong position when it comes to any potential future negotiations.
Pep Guardiola's side were also unsuccessful in their attempts to sign Tottenham Hotspur forward and England captain Harry Kane over the summer.