The west London club asked property developers to build them a super-stadium similar to Chelsea Village earlier this month, but their proposal was turned down.
The club made a failed bid in July for a former milk distribution depot in Wood Lane, Shepherd's Bush - just minutes away from QPR's Loftus Road which they are sharing for two seasons.
The preferred bidder for the site was property developer Helical Bar & Morley Fund Management.
And three weeks ago, Fulham held talks with their development executive Matthew Bonning-Snook about teaming up to build a state-of-the-art stadium.
He said: "Fulham approached us to work with them to develop a stadium - but it wouldn't work financially for us, so we're no longer in discussions with them.
"There are a large number of alternative uses which would be more valuable, including housing or offices."
Fulham chairman Mohamed Al Fayed is on the lookout for alternative locations after becoming infuriated by the local residents' legal battle which has stalled the £70m redevelopment of Craven Cottage.
Chester Stern, Fulham's controller of public affairs, said: "Our preferred option remains Craven Cottage, although we have looked at one or two sites as a fallback position.
"And if we can't go back to Craven Cottage, we want to stay in the London Borough of Hammersmith and Fulham."
Al Fayed's Harrods warehouse in Osterley, west London is reportedly an option, which would infuriate fans who are desperate to return to their traditional home by the River Thames.