That's obviously something he really, really wants to do - go for a walk. I would try just training him with the leash say in the backyard and NOT going for a walk. Make him sit or down and reward for being quiet rather than trying to abort the behavior once it starts. Maybe have a different leash that you work with and try putting it on to just go out and walk around or walk from room to room even. The leash should become something that isn't quite as much associated with fun, fun, fun - I get to go somewhere - and then the behavior will probably disappear.