Coach Ross Lyon said the club was "extremely disappointed" with Ball's decision.
"We were confident Luke would stay with the club, as he has always been a required player," Lyon said in a statement.
"However we will now do what is best for the St Kilda Football club's interests and those of its members and supporters with the aim of completing an equitable trade for a person of Luke's calibre, leadership, playing honours and experience."
Ball, 25, arrived at St Kilda as No.2 pick in the 2001 NAB AFL Draft, which also spawned Chris Judd, Luke Hodge and Jimmy Bartel.
He played 142 games for the Saints, tying for their best and fairest award in 2005, and was appointed captain in 2006 under then-coach Grant Thomas's rotational policy. Just 21 at the time, Ball later said he was not ready for the leadership.
He fell from grace this year, being dropped after round 15, when the Saints were still unbeaten, and had to force his way back into the side after a month in the VFL.
Participation in each of the club's three finals failed to persuade him to sign a three-year contract extension, which the club said had first been offered in June.
Collingwood has so far been a quiet player in trade week, failing to strike a deal with the Sydney Swans for ruckman Darren Jolly, after the Swans on Monday rejected the Pies' offer of their No.14 draft pick.
The 2009 AFL exchange period runs from October 5-9. No trades are official until paperwork has been accepted by the AFL and formally recognised after 2pm on Friday, October 9.
