Segeyaro made a big impact after joining the Rhinos on-loan from Australian club Penrith in July, helping Brian McDermott's side preserve their Super League status by winning nine of their last ten matches.
The 26-year-old made his move to Headingley Stadium permanent in September, penning a two-year contract, but he has now been quoted in The Sunday Telegraph in Australia saying that he does not want to return to the club for the 2017 season.
"I wouldn't say I was pressured into taking up an option to re-sign with Leeds, but I certainly didn't have the support network I lean on when I make key life decisions," Segeyaro was quoted as saying.
"I want to get on with my life and unfortunately that doesn't include going back to the UK. I just can't do it."
NRL side Cronulla-Sutherland Sharks have been linked with a move for Segeyaro, but Hetherington insists the Papua New Guinea international is not for sale, and he has been left disappointed by the player's recent comments.
"The comments attributed to James have obviously come as a big disappointment and a surprise following my meeting with him and his manager Sam Ayoub last Wednesday," said Hetherington.
"When speculation first broke regarding Cronulla and their interest in James, I alerted both the RFL and NRL chief executives to the issue and the NRL confirmed a player cannot be registered with an NRL club whilst his registration sits with a Super League club, and in James' case he is registered with us and the RFL until the end of 2018."