Media reports had suggested that Wolves boss Mick McCarthy was interested in signing the 35-year Blues midfielder who McLeish has said he would let leave St Andrews in the hope of getting regular first-team football if he wishes to do so.
However, the Blues boss has said that he has not had any enquiries from Wolves.
"I've not heard anything about Lee and Wolves," he has said.
"No-one has been in touch with me."