Reports earlier this week suggested new Birmingham owner Carson Yeung was keen on signing the former Chelsea man.
McLeish told Sky Sports News, when asked about the link with the Ukrainian striker: “Sammy [Yu] has not told me that.
“I read it in the paper, but I’ve not heard anything about Shevchenko.”
“We have got to see if certain players want to come to Birmingham as well as a load of other obstacles, but we will try and enhance the squad, enhance the quality with three maybe four players,” added McLeish.
