However, he has now sensationally asked to leave and Wise admitted: "I'm gobsmacked that he wants to go back to Luton.
"I wasn't interested at all in letting him go but he has made his mind up. He feels he made a mistake joining us.
"I'm very disappointed in him, they're a team fighting us for relegation. I asked whether it was me and Gus that was the problem, he said 'no'. We want our money back, simple as that, do they think I'm mad?
"He came to see me on Thursday but I had already had a phone call from Mike Newell on Wednesday asking me if I was interested in letting Kevin go.
"I'm very disappointed at the way I've found out. It takes Mike to ring me. He was the captain of this football club and you expect him to dig in like the rest and get us out of this mess and not jack it in. This really, really disappoints me and this is just some of the things you have to put up with."
Nicholls has made just 15 appearances for Leeds after suffering with a knee ligament injury earlier in the season.
When asked if Nicholls had played his last game for Leeds, Wise added: "We'll have to wait and see. What do you say to that? I told him I had to accept his decision and told him he wouldn't be captain and wouldn't be involved in the game this Saturday.
"He actually wanted to go straightaway. To go to Luton to try to help them and I can't understand it. We want our money back, simple as that. If he wants to go to Luton, give us our money back.
"Do they think I'm mad, to go and loan him to Luton for the rest of the season? Is he seriously crazy, or what? This is what you deal with, chaps. Good isn't it?"