I followed the instructions listed in this topic (Noob here - need help with wiring the MPU-9150 (gyro/accel) to the Uno - Sensors - Arduino Forum).
Did you connect it like described in this topic? That's for an UNO and is wrong for a Leonardo. You have to connect SDA to the pin labeled "SDA" on the Leonardo and not to A4 as written there. The same is true for SCL.
The board does have pull-ups installed but very weak ones so the cabling between the Arduino and the board has to be very short or you have to install additional pull-ups to 3V3 (3k3 should be a good value).