The defender, who left Hearts this summer, trained with the League One club for a week earlier this month.
Zaliukas returned home to Lithuania with the offer of an Ibrox contract on the table, but he is keen to pursue alternatives.
McCoist told the club website: "Sadly that deal has gone dead at the moment, and I think Marius has one or two other options.
"(Chief executive) Craig Mather effectively put an offer to him which wasn't met, so we're just about closing that one off at this moment in time."
Zaliukas made more than 200 appearances during seven years at Tynecastle.