* Initial claims, consumer confidence data due
* Lenders fail to reach deal for Greece
* Futures: Dow down 2 pt, S&P off 0.1 pt, Nasdaq up 1.75 pt
By Chuck Mikolajczak
NEW YORK, Nov 21 (Reuters) - U.S. stock index futures retreated Wednesday after international lenders were unable to agree on emergency aid for Greece, and ahead of data on the U.S. labor market and consumer confidence.
For a second week, euro zone finance ministers, the International Monetary Fund and the European Central Bank failed to agree on how to make Greece's debt sustainable, which is necessary before the next cash infusion can be made to the fiscally beleaguered nation.
The FTSEurofirst 300 edged up 0.06 percent at 1,095.13.
Investors will also look to weekly initial jobless claims at 8:30 a.m. ET (1330 GMT) for signs of improvement in the labor market. Economists in a Reuters survey expect a total of 410,000 new filings compared with 439,000 in the prior week, when a surge in claims was linked to the impact of superstorm Sandy.
At 8:58 a.m. (1358 GMT), information services company Markit releases U.S. flash Markit Manufacturing PMI for November, expected to show a reading of 51, unchanged from October.
The Thomson Reuters/University of Michigan Surveys of Consumers release the final November consumer sentiment index at 9:55 a.m. (1455 GMT). Economists in a Reuters survey expect a reading of 84.5 compared with 84.9 in the final October report.
"The market has shifted into Thanksgiving mode, while waiting for more news from Greece - after three positive sessions coming off the low, the market is looking for the next driving theme which could be today's economic numbers," said Andre Bakhos, director of market analytics at Lek Securities in New York.
The S&P 500 had risen for three straight sessions as rhetoric from Washington did little to erode investor optimism of a deal to avert the "fiscal cliff," a series of tax hikes and spending cuts which will go into effect in the new year and threaten to derail the nation's fragile economic recovery.
Still, earlier gains on Tuesday were mostly erased as Federal Reserve Chairman Ben Bernanke cautioned that the central bank lacked the tools to cushion the U.S. economy from the impact of the cliff in a worst-case scenario.
"Investors are ignoring the elephant in the room in the form of the fiscal cliff and much of the recent strength stems from hopes of a benign resolution; however, until a deal is actually done, it could come back to haunt at any time," said Bakhos.
Shortly after at 10:00 a.m. (1500 GMT) the Conference Board releases its report on October leading economic indicators. Economists in a Reuters survey forecast a 0.2 percent rise compared with a 0.6 percent rise in September.
S&P 500 futures shed 0.1 point and were below fair value, a formula that evaluates pricing by taking into account interest rates, dividends and time to expiration on the contract. Dow Jones industrial average futures fell 2 points, and Nasdaq 100 futures added 1.75 points.
Volume is expected to be light ahead of the Thanksgiving Day holiday on Thursday.
The National Labor Relations Board (NLRB) said it was unlikely to decide, before Thursday's holiday, on Wal-Mart Stores Inc's push to stop protests and rallies outside its stores. This was a blow to the company's attempt to avoid major protests at its stores on "Black Friday," the day after Thanksgiving and the busiest shopping day of the year.
Deere & Co slipped 1.2 percent to $85 in light premarket trading, even as the agricultural equipment maker reported higher fourth-quarter earnings.
Business software provider Salesforce.com Inc beat Wall Street expectations for the third quarter and maintained its earnings outlook for the rest of its fiscal year despite the uncertain economic outlook.
Asian shares fell after the failure to reach a deal on another bailout for Greece, a day after Federal Reserve Chairman Ben Bernanke highlighted the dangers of a U.S. fiscal crisis.