The 24-year old Danish goalkeeper will join Leicester City this week after the Whites accepted an offer from their Championship rivals but he is unhappy about the move.
"Therefore it is with great disappointment that I have learned that Leeds United have accepted an offer from Leicester.
"I want to put on record that I have never asked to leave Leeds United, nor did I reject an offer for a new contract, since one was never put to me.
"I was enjoying being a Leeds United player and was looking forward to winning promotion this season with the club.
"I have been put in a very difficult situation and will spend some time considering my options for my future."