The 48-year-old was relieved of his duties on Monday after the team's poor start to qualification for the 2014 World Cup.
The Scots are currently bottom of Group A with just two points from their opening four matches.
"I am extremely disappointed by the process of the last week," Levein said in a statement.
"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."
Former Dundee United boss Levein took charge of the national side in December 2009.