The defender was due in Newcastle for a medical yesterday but failed to show up.
Gary Neville's Valencia are said to be keen on a deal, and a move to the Premier League is now dead in the water.
The Magpies had arranged talks and a medical on Tyneside on Saturday, but the Brazilian left-back did not turn up after late interest from La Liga side Valencia.
The Atletico Madrid defender is believed to have been offered a better and potentially longer deal by the Mestalla club.
Siqueira was also told he would only be a back-up player by Newcastle for the last 15 games of the Premier League season.