The Blues were hoping the Brazilian-born Germany international would jump ship from the Bundesliga club but things changed and he decided to stay put, leaving McLeish to go on with his scouting.
"We did miss out on Cacau. We thought we had it in the bag and he did an about turn," McLeish said.
"The irony was when we declared our interest in him, he was out of the team.
"I don't know whether our interest in him gave him a lot more confidence, because he then went on a scoring burst and Stuttgart said there was no way they could let him go with what it would cost to replace somebody like that.
"He is one that got away. It would have been a coup for us, the type of player for the jigsaw I am trying to put together, but we will keep working to strengthen the squad."