Coleman had been linked with the promoted Premier League club after guiding Wales to the semi-finals of Euro 2016.
Hull are trying to replace Steve Bruce, who resigned last month amid rumours of disagreement with ownership and a shortage of resources.
“Following discussions amongst leading figures within the association the approach has been rejected,” the FAW said in a statement. “Everybody at the FAW are fully focused on the forthcoming World Cup qualifying campaign.”
Coleman signed a new two-year contract in May and has said the 2018 World Cup campaign would be his last in charge.
Hull won promotion last season by beating Sheffield Wednesday in the Championship play-off final.
Source: GNA/News Ghana