Segeyaro wants to stay in Australia despite being under contract with Leeds.
Hetherington, who met with Segeyaro in Sydney on Wednesday, said: “The comments attributed to James have obviously come as a big disappointment and a surprise following my meeting with him and his manager Sam Ayoub last Wednesday.
“When speculation first broke regarding Cronulla and their interest in James, I alerted both the RFL and NRL Chief Executives to the issue and the NRL confirmed a player cannot be registered with a NRL club whilst his registration sits with a Super League club and in James’ case he is registered with us and the RFL until the end of 2018.
“Interest in him from other NRL clubs has been reported but they know he is not for sale however I have no doubt this has become a key issue.
“The integrity of our game is now on the line and I hope to have further discussions with senior officials from the RFL and NRL at the earliest opportunity.”