Wright was offered the post before Kevin MacDonald's appointment.
MK Dons coach Wrighty said: "I got a call on Monday morning and it was something that, all of a sudden, I had to start thinking about other things.
"You start thinking about what team you will put out if you're going to do it. I was very, very excited about it.
"But in the end it was something that, being out the game for the time I have and only being back at MK trying to learn certain things, it's not enough to time to go into a club like that and try to get them what they need right now - promotion.
"They've got a very, very good man in Kevin MacDonald. But it was something that I was really, really enthused about."