A fee believed to be £10million was agreed for the 23-year-old Dutchman but late on Thursday afternoon PSV elected against selling Locadia, leaving Wolves desperately scrambling for a new striker.
Dutch youth international Locadia, who can also play as a winger, has scored 54 goals in 163 appearances in six seasons at PSV.
He spent much of last season on the sidelines with injury but has been PSV's first choice striker this season, scoring once in three games.
Wolves have endured frustration in their summer-long striker search with a number of targets enquired about and bid for including Nelson Oliveira (Norwich City), Dwight Gayle (Newcastle), Jordan Rhodes (Sheffield Wednesday), Idrissa Sylla (QPR), Jordan Hugill (Preston), Vincent Aboubakar (Porto), Nathael Julan (Le Havre) and Guido Carrillo (Monaco).
Reports linking them with a £15m bid for former striker Benik Afobe on deadline day are believed to be wide of the mark.
Wolves have kept tabs on Afobe's situation this summer but have made no recent contact with Bournemouth.