23-year-old Gradel is out of contract at the end of this season and has yet to agree a new deal at Elland Road.
He would like to return to France where he was raised but West Ham and Fulham have also shown an interest this summer.
Sochaux are now out of the race after Leeds turned down their offer.
Sochaux chairman Alexandre Lacombe said: "We haven't had a positive reply on the offer we made. This case is closed now."