According to media sources, Refn and the studio couldn't come to terms on a deal and has left the project. But not to worry, for you Refn fans. He still has a new film coming out this year, Only God Forgives, with his Drive star Ryan Gosling, which is set to be released on May 23rd.
As a result, the studio is looking for a replacement to quickly come in and take over the directing job; and two directors who were under consideration before Refn came on board were Pierre Morel (who directed Taken) and F. Gary Gray.
It is possible that Columbia might go back to either of them to come on board the project, or perhaps the studio may look for someone new altogether. We shall see.
Here's the intro to the TV series with music by The Police's Stuart Copeland.