The 31-year-old, who committed his future to Newcastle earlier this month, stunned the Magpies in January when he said he wanted to quit St James' Park and return to Argentina for personal reasons.
Buenos Aires-based San Lorenzo, with whom Coloccini enjoyed a season-long loan spell in 2001, held talks with Newcastle's hierarchy but were unable to conclude a deal.
Coloccini, on international duty with Argentina, has refused to rule out a move to his boyhood club in future years, though.
"I am treated very well at Newcastle, it's my sixth season there and I am under contract for three more years, so I will see what happens in the future," he said.
Regarding the San Lorenzo talks, Coloccini said: "I was very close of going back to San Lorenzo but Newcastle are my employers and they wanted me to stay.
"However at one point it looked like there was going to be an agreement."