Several national and regional newspapers reported last week that the Elland Road club had made a £750,000 bid for Forest striker Blackstock, who will be out of contract in the summer.
But McLeish insists the Reds have not had any interest in any of their players so far during the January transfer window.
"In terms of players going out, we have not had any interest," said the Scot.
"There has been loads of talk about Dexter but we have had nothing, no approaches."
- Sports & Recreation