Cavani’s contract expires at the end of the season but the Uruguayan striker wants to leave during the January transfer window.
Atletico chief executive Miguel Angel Gil Marin met with PSG president Nasser Al Khelaifi in Paris on Tuesday to discuss a deal for Cavani, but Leonardo says their offer was rejected.
Speaking after PSG’s French Cup win at Lorient on Sunday, Leonardo said: “We’ve always said the same thing. We were hoping he would stay with the club, but today (Sunday) he asked to leave.
“We’re studying the situation. We’ve had a proposal from Atletico Madrid, but that proposal was not commensurate with the player’s value.”
Cavani, who turns 33 in February, joined PSG from Napoli in 2013 for £55m and has scored 195 goals in 269 appearances.