The 27-year old had recently been on trial with the Owls but an agreement between the two clubs could not be reached and the Frenchman is now believed to be looking elsewhere.
Coulibaly is likely to find himself surplus to requirements with the Ligue 1 side following their influx of signings this summer, and he admitted that a move to England could be tempting.
"I have a contract until 2016, however with Joao Moutinho, Jeremy Toulalan and Delvin Ndinga in the same position it will be hard to play week-in-week-out," he said.
"I had talks with Sheffield (Wednesday) but we could not agree a fee. I am thinking, to play in England could be fantastic.
"Blackburn is a big team and it can be a good club for me but nothing is done yet to be honest, let's see what comes out of it."