Millennium Stadium and the RFL have been unable to reach a suitable business agreement for the event to continue in its current form.
"We have had a strong our association with Rugby Football League matches at the Millennium Stadium over the last five years and believe that visiting fans greatly enjoyed the experience of visiting both the stadium and Wales," said the WRU Group Head of Marketing Gwyn Dolphin.
"However, we have a responsibility as a business to create the best commercial agreements for Millennium Stadium and its stakeholders. It is unfortunate that we have not been able to do so on this occasion but we could not find common ground, despite everybody's best efforts.
"But we now have a great opportunity to produce another spectacular Millennium Stadium event on this weekend. Wales' national stadium prides itself on its versatility and, with a packed schedule in 2008, we already have a wide array of concerts, conferences and sporting occasions making up a busy and varied event calendar for 2009 and are in discussions with a number of high profile sporting and musical events for May 2009."