David Moyes saw a £25million bid for the player turned down for Herrera and United were understood to have been prepared to meet his 36million euros release clause.
But a deal didn't happen and the midfielder stayed at Bilbao.
Meanwhile, Moyes turned his attentions to Coentrao having missed out on Everton left-back Leighton Baines.
It seemed he had pulled off an amazing last-ditch coup.
But Press Association Sport understands the paperwork was not completed in time and Coentrao will remain at the Santiago Bernabeu.