The Yorkshire side are keen for the 39-year-old to replace Gary McAllister who was axed on Sunday following a five-match losing sequence.
A brief statement on the Seasiders' official website read: "Following widespread media speculation surrounding Leeds United's interest in Simon Grayson, the club can confirm Leeds United have approached the club in respect of its manager and the approach to speak to Simon and or his representatives has been firmly rejected."
Grayson has been in charge at Bloomfield Road for the last three years and guided the club to promotion to the Championship via the play-offs in May 2007.