Levein was "relieved of his duties" by the Scottish Football Association on Monday, who stressed they would honour his contract.
In a statement released on Wednesday night, Levein said: "I am extremely disappointed by the process of the last week.
"I note the position as stated by the Scottish Football Association but do not concur and I am currently taking legal advice as to my options.
"I will make no further comment at this time."
Weeks of speculation over Levein's future came to an end at the beginning of the week - 20 days after the defeat to Belgium which left Scotland bottom of their World Cup qualifying group.
Levein was removed from his role four days after the seven-man SFA board first met to discuss his position, with the poor start to the campaign cited as the main reason for their decision.
The SFA said the former Dundee United and Hearts manager would continue to receive his wages after agreeing to honour the remaining 20 months of his contract.
Speaking on Monday, chief executive Stewart Regan said: "We have not terminated the manager's contract. He will be paid his dues and his entitlement under his contract.
"It's 20 months remaining on his contract, until the end of the World Cup 2014 campaign."
Levein took over as Scotland manager in December 2009.
His job had been under serious threat since the defeats by both Wales and Belgium and his overall competitive record - three wins from 12 matches - is among the worst of modern Scotland managers.
Levein's statement continued: "I would like to thank everyone who has supported the team and I during my time as Scotland manager.
"It has been a privilege to have done the job and I would like to thank my back room staff who have worked tirelessly during my time as manager.
"Most of all I would like to thank the players for their unswerving loyalty, effort and professionalism."
Former Celtic boss Gordan Strachan has emerged as the bookmakers' favourite to fill the vacancy left by Levein.