Reports had claimed Le Mans were in pole position to sign the 29-year-old former Blackpool striker.
The Frenchman has been at Tynecastle for a year but most of his appearances have come off the bench and he has only scored once this season.
Neilson said: "Armand is speaking to another club. He has been given permission to speak to them. He is trying to get something sorted.
"If he gets something sorted, he goes with our best wishes. If he doesn't, then he will come back in with us."
A move for Gnanduillet would not particularly change Neilson's January plans.
"We were always going to recruit in that department anyway." he said. "It just means we will probably need to speed it up.
"But the key thing is always to make sure we get the right player. If that takes a bit longer, then it takes longer."