The goalkeeper was placed on the transfer list at the end of last season, but despite a supposed approach from Portsmouth, remains a Posh player for now.
And the the 24-year-old has let his feelings on the matter be known.
Gyollai said: “Basically the club have turned Pompey down before even telling me. They’ve also turned down an approach from Slovenia down. At the end of last season they told me they would let me go and play this coming season and so far the are not doing what they said they would do.”
But Peterborough chief Fry has fired back at the claims.
“Dan is desperate to get away and I understand that,” he said. “I’ve been talking to him or his agent virtually every day to try and sort something out.
“But I will always act in the best interests of the club and we won’t be giving him away.
“One club wanted to pay 800 Euros a month to take Dan on loan which is well under £200 a week and another offered £500 a week which is also well under what Dan gets.
“We are happy to cancel his contract by mutual consent and then he will be free to sign for whoever he likes. He can join Real Madrid then if he wants.”
We’ve gathered the best of today's Championship rumours below:
1. Stojanovic wants out
Middlesbrough manager Neil Warnock is hoping to sign another goalkeeper this summer with Dejan Stojanovic looking to leave the club. (Teesside Live) (Photo by Martin Rose/Getty Images)
Photo: Martin Rose
2. Watson set to join MK Dons
MK Dons have agreed to sign defender Tennai Watson after he quit Reading, Football Insider has learned. The League One club have finalised a deal with the 24-year-old following a spell on trial. (Football Insider) (Photo by Alex Burstow/Getty Images)
Photo: Alex Burstow
3. Pereira frozen out
Matheus Pereira has been “effectively frozen out” by West Brom manager Valerien Ismael. The Brazilian is said to be a target for Leeds United. (The Athletic) (Photo by Clive Rose/Getty Images)
Photo: Clive Rose
4. Kenny wants Hourihane at Bramall Lane
Former Sheffield United goalkeeper Paddy Kenny has urged manager Slavisa Jokanovic to follow up on his interest in Aston Villa’s Conor Hourihane, claiming that a deal for the midfielder would be a 'massive coup'. (Football Insider) (Photo by Eric Alonso/Getty Images)
Photo: Eric Alonso