Burnett's Chicago office said it dropped the Morgan Stanley account, which it had held for 17 years, following a boardroom shake-up at the bank. However, Morgan Stanley released a statement saying it had already decided to hold a review.
Philip Purcell, the embattled chief executive of the bank, was forced out of Morgan Stanley in June after months of pressure from board members.
He was followed out of the door by the bank's top marketer, Phil Raskin, a former Leo Burnett executive.
John Mack replaced Purcell last month and instigated a number of reviews across the Morgan Stanley business.
A statement released by Morgan Stanley in the UK said: "Our goal is communicating our brand as effectively as possible. To that end, we review agency relationships on an ongoing basis. In line with this business strategy, the UK card business has decided to review the advertising account, which is with Leo Burnett UK."
Burnett handled Morgan Stanley's credit card account for four years.
Paul Lawson, the managing director of Leo Burnett UK, said: "We understand that from time to time some clients seek to review their agency arrangements.
This decision comes at a time when Morgan Stanley is also considering its roster in the US and Leo Burnett Chicago has announced that it will not take part in the review."
The review will not affect Starcom, the bank's media agency, nor Tequila\London, its below-the-line agency, which was appointed to the account in February.