The Brazilian insists that the club have yet to meet with the Argentina international but confessed that they are hoping to bring him to the Parc des Princes
The Parisian club's star man, Javier Pastore, has already claimed that Higuain is considering moving to the French capital, while it has also been claimed that the Argentine has already met with Al Khelaifi.
Leonardo insists that there is no truth in that particular rumour, or indeed the speculation that Higuain's Real Madrid team-mate Kaka has also been approached.
"Nasser has never met Kaka or Higuain," the former AC Milan and Inter boss told reporters on Friday. "The story was written as if it were a truth, but Nasser has never met these players, and nor has anyone else at the club.
"Today, we are in discussions. Not only with Higuain, but in the global market. You can talk with 15,000 players and do nothing."
Indeed, Leonardo admitted that when it comes to their interest in luring Higuain to the Parc des Princes, everything hinges on his current employers.
"If Real Madrid decide not to sell him, he will not even be on the market," he pointed out. "He has a clause of €150 million, so what should we do? Pay that?!"
Leonardo added that the club's current focus is on their Ligue title challenge and that they will not start making moves in the transfer market until next month. However, he did all but confirm that the Qatari-owned club intend to spend big again this summer.
"It's not yet time to go into detail," he explained. "The market opens on June 13. The truth begins on that date.
"Before then all we can say is that PSG must make a leap in quality, and that includes in a sporting sense."
The capital club are currently second in the French top flight, three points behind leaders Montpellier with two rounds of the season remaining.