The newly-appointed Pars boss, who has managed the East End Park club in previous seasons has told the Scottish media that Bullen has chosen to stay at Wednesday and will not be joining his team.
Falkirk were also chasing the 34-year-old defender's signature but according to Leishman, Bullen is set to stay south of the border.
Meanwhile, Paul Sturrock is said to be chasing Nottingham Forest's injury-plagued midfielder Adam Nowland.
Former Owl and Forest manager Gary Megson wants to start a rebuilding program at The City Ground and has transfer-listed the midfielder.
He was signed for £250,000 from West Ham but did not play that often, so Megson has decided to let him leave on a free transfer.
Wednesday have also been linked with Lee Roche, recently released from Burnley.