Speculation rose last week after a hedge fund that specializes in tracking plane tail numbers suggested that Kellogg was in talks to sell to Kraft Heinz. The rumors sent shares of Kellogg to a 52-week high Friday.
On Wednesday, Kellog's shares closed at $82.26, down 5.43 percent.
Ever since Warren Buffett's Berkshire Hathaway partnered with 3G Capital to broker the merger of Kraft and Heinz last year, speculation has been rampant about which major consumer-packaged-goods company would be the next to the altar. Danone's decision to buy WhiteWave Foods for $12.5 billion, including debt, earlier this month, and Mondelez Internationals' offer for Hershey revived that chatter.
The Battle Creek, Michigan–based cereal maker has often been at the center of merger rumors in the sector.
— CNBC's David Faber contributed to this report.
Correction: This story was revised to correct the spelling of Warren Buffett's last name.