The Sky Bet League One club turned down the offer from the Reds because it was "nowhere near" their valuation of the player.
Forest have been linked with a move for Sako for some time and this week made an official approach for the highly-rated 25-year-old who Wanderers bought from St Etienne for an undisclosed fee, believed to be £3million, just over a year ago.
Wolves boss Kenny Jackett said: "They have made a bid and it is nowhere near our valuation. Whether they come back or not, I don't know."
Wanderers believe Sako's value has increased during his 12 months at Molineux, despite their relegation from the Championship and turned down a £2.5million bid from Fulham at the start of the summer.
The Frenchman was still an integral figure as Wolves slid out of the second tier, scoring nine goals, and he has started the current campaign in fine form having netted in wins over Gillingham and Bristol City.
Sako remains a key part of Jackett's plans, along with striker Kevin Doyle, as the club look to bounce back to the Championship at the first attempt.
It has been widely speculated that Wolves need to get Sako and Doyle off the wage bill following their relegation to League One, but Jackett has stated many times that the club do not need to part with either of their prized assets.