The Foxes had agreed a fee with Wigan for Maloney, understood to be just over Â£1million after an initial bid was rejected.
But the Scotland international will not be moving to the King Power Stadium after failing to agree personal terms.
Via Wigan's Twitter feed, manager Malky Mackay said: "We accepted a bid for Shaun Maloney, but the personal terms fell through
He's our player until the end of the season.
"Interest was from Leicester, and there's still interest from Chicago Fire
Shaun's our player unless a new offer comes in."
Source : PA