"This is terrible news for Al and a big shock to everyone at Watford FC," Iain Moody, head of football operations, told Watford's official website.
"We're very sad and disappointed that he's not been granted leave to remain in the UK.
"The Home Office will shortly initiate moves to immediately remove him from the country and as such we've instructed our legal advisors to begin preparing an appeal to this decision.
"This is a significant setback for Al and his family but we'll continue to fight this case and have full confidence that common sense and justice will prevail and that Al will be allowed to continue his life in this country."
Alhassan "Al" Bangura (born 24 January 1988, in Freetown, Sierra Leone) is a Sierra Leonian midfielder who currently plays for Watford F.C. in the Football League Championship in England.
Born in Freetown, Sierra Leone, he fled the country upon the death of his father. His father was a member of the Poro Secret Society, and tradition stated that his son must join upon his death. Not wanting to, he went to Guinea where he met a Frenchman, who took him to France and intended to make Bangura a male prostitute. When the man took him to England, he sought asylum.
Discovered by a Watford scout playing in a park, he joined the Watford youth set-up, and made his debut against Stoke City whilst still a member of the Academy on 30 April 2005 aged just 17, coming on for an injured Gavin Mahon. He started the following game against West Ham United on the final day of the 2004-05 season. In the 2005-06 season he has been a regular in the Watford side, making 37 appearances (24 from the bench) in all competitions, scoring 1 goal and winning the club's Young Player of the Season award.
Bangura's hard work in the 2005-06 Championship season and getting the club promoted has been rewarded with a contract extension taking him through to the end of the 2008-09 season as a Watford player.
Football fans up and down the Country believe that the Watford midfielder should remain in the United Kingdom, a petition has been set up in his honour to keep him in the Country.