Cellino has agreed a £25million deal for a majority stake in the Championship club with owners Gulf Finance House.
However, the Football League's board has refused to sanction the deal as he failed their Owners and Directors Test following a conviction for tax evasion in Italy.
Cellino, who has been in charge of Serie A outfit Cagliari for over 20 years, was given 14 days to appeal the decision and he intends to do so.
"I have to appeal," Cellino said. "I feel a responsibility to the fans who I am proud to say wanted me."
His UK lawyers Mishcon de Reya told the Yorkshire Evening Post: "Mr Cellino will be appealing the decision. We have no further comment."
Leeds had responded to the original decision by saying they are "disappointed" and clearly they will be hoping that Cellino's appeal will be successful.