McLeish also reiterated the club stance on Darren Bent after the third round victory.
The Villa boss revealed he had spoken to Liverpool manager Kenny Dalglish about the ongoing and wild internet speculation linking Bent with Anfield.
He was happy with the response of Dalglish, who reiterated that "there's nothing in it."
McLeish added: "It's not frustrating. It's just the window. It's good fun. I'm not frustrated by it.
"People like to speculate, social networks, it's a field day.
"Anyone that's out there that want Benty certainly haven't contacted me.
"Benty has said on the record that he wants to stay at the club. You have to take his word for that.
"Certainly anyone I have asked outside the club - agents etc - is there an interest I have been told flatly no.
"I have spoken to Kenny and he said there's nothing in it. He said - just because Mark Lawrenson said something it doesn't mean it's true.
"That kind of stuff you can't prevent it. It's out of my control. I don't get upset by it."