The former heavyweight champion was initially due to face his opponent on October 29 at the Manchester Arena, but Fury postponed the bout due to a sprained ankle suffered while training.
It emerged on Friday that the fight had been cancelled altogether when Fury, who also failed to turn up to the announcement news conference earlier this month, was forced to pull out because of reported mental health issues.
Klitschko is unhappy with the decision, telling ESPN: "I am totally disappointed that Fury cancelled the fight for a second time. I am in top shape and I would have loved to retrieve my world championship belts in Manchester.
"Screw it. I will move forward and I will keep you posted when and against whom my next fight is going to be staged. I will rely on information from the sanctioning bodies. They will move on with the titles Fury currently has. I will keep you posted."