The Red Devils have been trying to extend the deal, which expires on June 1, to allow Ighalo to finish the 2019/20 season.
United were hoping Ighalo could stay for another three months, but the Daily Mail says Shenhua have no interest in completing such a deal.
It is also reported that a permanent deal has not been discussed.
Ighalo wants to continue living his dream of play for United, although Shanghai are looking to reward him for being loyal.
The Chinese Super League club are preparing to offer the Nigerian a two-year contract extension on improved terms of £400,000 a week.