Scunthorpe had offered Wright a new deal but the former Charlton youngster has expressed his desire to move on to the United boss.
"He's not been able to settle very well in the area, which is something I was unaware of, and he feels it will be best for him to move on - whether it's in this transfer window or at the end of the season", Baraclough told the official website.
"Josh is a person who has given 100 per cent at all times and it will be a sad loss to lose him because I think he's gone and progressed well at this club.
"That's unfortunate but it's something we'll have to deal with."
Scunthorpe are yet to receive an offer for the 21 year old, who is out of contract at the end of the season.