Reports this morning had suggested that Spanish club Malaga were keen on signing the 29-year-old Scotland international.
However, McCoist is adamant that any bids for his keeper will not be gratefully received.
"Thankfully the weather here wasn't too bad or maybe we would all be heading to Malaga," said the boss.
"Allan is a massive, massive part of our plans for the future and I can tell you right now that I certainly would not welcome any bids for Allan."
McGregor joined the Gers in 2001 as a youth player.