We present evidence that the recently discovered, directly imaged planet HD 131399 Ab is a background star with nonzero proper motion. From new JHK1L' photometry and spectroscopy obtained with the Gemini Planet Imager, VLT/SPHERE, and Keck/NIRC2, and a reanalysis of the discovery data obtained with VLT/SPHERE, we derive colors, spectra, and astrometry for HD 131399 Ab. The broader wavelength coverage and higher data quality allow us to reinvestigate its status. Its near-infrared spectral energy distribution excludes spectral types later than L0 and is consistent with a K or M dwarf, which are the most likely candidates for a background object in this direction at the apparent magnitude observed. If it were a physically associated object, the projected velocity of HD 131399 Ab would exceed escape velocity given the mass and distance to HD 131399 A. We show that HD 131399 Ab is also not following the expected track for a stationary background star at infinite distance. Solving for the proper motion and parallax required to explain the relative motion of HD 131399 Ab, we find a proper motion of 12.3 mas yr(-1). When compared to predicted background objects drawn from a galactic model, we find this proper motion to be high but consistent with the top 4% fastest-moving background stars. From our analysis, we conclude that HD 131399 Ab is a background K or M dwarf.