The Championship club believe the move is too close to the summer transfer window.
Per Sky Sports, United are willing to pay compensation that is equal to Wilcox's yearly salary.
"I've been hearing from the media that Jason's leaving for six weeks. Nothing's changed. I spoke to Jason this morning, we've had a game, I'm here to talk about the game, not about Jason," Saints boss Russell Martin told Sky Sports.
"I'm sure a some point, hopefully in a couple of days, he'll be able to tell you or I'll be able to tell you what's going on. But right now, we've just lost 3-2 in a game where we were fantastic and I don't really want to be talking about Jason.
"Jason's been great for us, if he leaves, he leaves. I don't know what's going on. I would say give me at least 10 minutes to get over the disappointment of tonight and we'll chat at some point this week and I'm sure I'll have more for you.
"I've not spoken to the club (about it). You know my feelings on Jason, and I'll have a chat with him after. I've just had a text saying how proud he was of the performance. The rest is, once I'm told I'll let you know."