The speedy Bastos, who looks set to sign a deal with a United Arab Emirates team, joined Schalke on an 18-month loan deal from Olympique Lyonnais in January.
The 29-year-old had an option in his contract that stated when a third club offered to sign him Schalke had five days to respond with a counter bid otherwise Lyon could sell him and the Bundesliga club opted not to offer the Brazilian a new deal.
"We would have to buy the player and we did not want to do that," said Heldt.
He did not say which club Bastos would join but German and Gulf media reported that the winger was close to a deal with the UAE's Al Ain.
The former Brazil international, who made a name for himself at Lille before joining Lyon in 2009, quickly became a key player in Schalke's run to a fourth place finish last season and a spot in the Champions League qualifying rounds.