The Lazio defender travelled to Tyneside for a medical after the two clubs agreed a half-season loan deal.
However, the move is now off and the 24-year-old will return to Italy.
A club statement read: "Newcastle United can confirm that Jordan Lukaku will not be joining the club.
"The Belgian defender was on Tyneside on Friday after being given permission to travel by his current club, SS Lazio.
"It has now been decided that a loan deal will not be pursued and the player will return to Rome.
"We wish Jordan all the best for the future."