The Iceland international has been in fine form this season and is the Eredivisie's top scorer with 20 goals already for De Superfriezen, who currently lie fifth in the table.
|13/8||Fulham are 13/8 with Bet365 to avoid relegation from the Premier League|
Rene Meulensteen's Fulham were also interested in the striker and, when asked about a reported €10 million bid from the Cottagers being rejected, Finnbogason made clear his frustration.
"They [Heerenveen] always said they wanted €10m for me and now they didn't want co-operate," he told Omrop Friesland.
"I am disappointed in Heerenveen because I can't play in the Premier League."
Fulham were one of the busiest clubs on the final day of the transfer window, bringing in a number of players including Olympiakos striker Konstantinos Mitroglou, Lewis Holtby and Manchester United pair Larnell Cole and Ryan Tunnicliffe.
Defender Jonny Heitinga also arrived from Everton, with Dimitar Berbatov leaving for a loan spell with Monaco while Phillippe Senderos moved to Valencia.