Davis' situation emerged earlier on Tuesday evening when his close friend, football commentator and ex-Magpie Brian Taylor, told 3AW the 30-year-old was set to leave the Magpies and play in the WAFL or SANFL next year.
"To be fair to both the player and club, we're not going to discuss individual details and contracts in the public," Walsh told 3AW.
"We haven't been able to speak to Leon directly as yet but we've had a message and a conversation with his manager Liam Pickering ... who had spoken to Leon earlier today.
"He said Leon had come to a decision that he wanted to stay in WA for family reasons and we've been since trying to get hold of Leon, both myself and Nathan Buckley, and we haven't been able to do that as yet.
"So until we speak to Leon directly, even though we'll take face value of what Liam told us, there's not a lot I can confirm."
Davis, who played 21 games this year for a career total of 225, hails from WA and there had been speculation all season that he was keen to return to his home state for family reasons.
But he told new coach Nathan Buckley on the eve of the recent trade period he had decided to stay at Collingwood.
Walsh said the Pies had spoken to Davis since the end of the season.
"We want Leon Davis to play and we always have, and Nathan expressed that directly to him on a number of occasions before he went back to Perth," he said.
"He's in no doubt, as is Liam, that we want Leon to play for Collingwood and we think that until we hear that from him directly, there's nothing we can confirm in a definitive sense."
Walsh didn't discuss specifics of the alleged contract dispute with Davis, or elaborate on the reasons why he had suddenly decided to turn his back on chasing an elusive premiership with the club he had played 11 seasons for.
But he acknowledged the constraints the Magpies faced as far as salary cap pressure was concerned, given the stable of stars who have recently re-signed.
"It's always a task to manage your salary cap, particularly with a high-end list in terms of quality and that continues to be the case, not only with ourselves but a number of clubs," he said.
"I suppose when you're in a window of what we hope is an opportunity for further success, given where we've been the last couple of years, players have to make a call; do they want to be involved in a club where there's an opportunity for future success, or do they want to go to the highest bidder?
"I'm talking generally here and not about Leon, because as far as we're aware he doesn't have any other offers on the table.
"When you have a list that performs well over a period of time, it becomes harder and harder to fit everyone in and I think it's fair to say Collingwood is in that position right now."
Walsh also said an announcement regarding former St Kilda assistant Robert Harvey beginning a new career at Collingwood was "very, very close".
