Gallagher's move from Chelsea to Atletico is due to be confirmed on Friday.
However, Corona insists Guerra was the player Atletico wanted, with the player in Madrid this week, before talks collapsed.
He told Relevo: "I am going to try to tell facts, objectively.
"There is an agreement on Sunday between Lay Hoon Chan (Valencia club president) and the largest shareholder of Atletico Madrid (Miguel Angel Gil Marin), documentation is being filled out with the player.
"And on Wednesday morning, given the delay in the return of documents, there is a question towards Atletico Madrid, what is the situation and they tell us that they are trying to get out of Chelsea's operation with Gallagher.
"It was the first news that we and Javi Guerra had about it, that both operations were linked, and we got out of there. There had been constant exchange of calls, Whatsapps… And at no time had they notified us.
He added: "The Wednesday, the largest shareholder apologises, show us understanding and tells us that he also wanted to get out of the deal. They apologise to us because they know what their actions have been."