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Blues failed in a bid to land Coly before the transfer deadline and now Leeds and Middlesbrough have also shown an interest as well as club's from the Italian Serie A.
"If an opportunity comes along I will move during the winter transfer window. My preference would be to go to England," said Coly.
"Joel told me that he understood, but that he would have to do without me in the team from now on.
"Anyway, I have decided of my own accord to no longer wear the Lens shirt. The manager has his own responsibilities."
Coly's contract at the French club is not due to expire until next summer and with Lens sure to demand a transfer fee for the player, Blues could be out of the running as co-owner David Sullivan spoke only last week of the club's need to pursue players on long-term loans rather than buy.
The arguments that Coly could be swayed by a move to Blues because of Sengalese captain Aliou Cisse playing at St. Andrew's may also prove to be premature - nearly all of the Senegal squad are playing somewhere in Europe after their tremendous exploits in this years World Cup competition in the far East.
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