McCall has been tipped as a potential successor to Danny Wilson at Bramall Lane but says he is unaware of any official approach.
The Motherwell manager refused to rule out the possibility of speaking to the Blades - who he spent three years with as a player - but was keen to stress he was happy at Fir Park.
McCall said: "I genuinely don't know anything about it other than there has been speculation. You can't stop speculation. I've never once looked to go elsewhere, whether as a player, coach, manager.
"If, for example, Sheffield United wanted to speak to me, the club and the board have always been open with me as I have been with them.
"If somebody wants to speak to you, depending on who it is, you would maybe say, 'Okay we will speak'. But it's not definite that I will be speaking to anyone."
He added: "I've always been happy here. Sometimes you get something that fits.
"I've been lucky to work with a good set of people - the players and the non-playing staff. I'm still enjoying it.
"There's not a part of me desperate to go. I'm not seeking out avenues to get away.
"If this is all speculation and nothing happens, then that's fine. I've not got a deep desire to leave this club because I'm having a great time here."