Blackman was the Blades' best player by far in the 4-0 FA Cup fourth round defeat to Reading, causing the Royals back line all sorts of trouble thanks to his pace and power.
Championship side Palace have made a bid to sign the 23-year-old former Blackburn man, but Wilson wants him to stay.
"We have had a bid for him, but he is still our player," Wilson said. "Whether that will change before Thursday, I don't know.
"I would like him to stay but obviously circumstances will prevail. He is a very good player."
Wilson saw his side eliminated after a brace from Noel Hunt, with former Blades player Mikele Leigertwood and Garath McCleary also on target.
But had Chris Porter, Blackman, Ryan Flynn and Kevin McDonald all taken their chances, the final scoreline could have been very different.
"We are disappointed," Wilson added.
"We take nothing away from the striking prowess of Reading. But the goals we conceded were poor - the first one in particular and the one just after half-time.
"I think the scoreline was a bit flattering but they have taken their chances. We had as many chances but just didn't convert them."