Last week, the beleaguered British team did not outright deny speculation that their situation is so bad that they had been in contact with Mercedes about a last-minute engine switch.
"It would be an enormous thing if McLaren changed engine," Toro Rosso driver Sainz told the Spanish press.
"I don't know, but for me it would be an incredible thing for Formula 1 and so I find it hard to believe."
Sainz was asked about the McLaren-Honda situation because of his closeness to countryman and mentor Fernando Alonso, who drives for the beleaguered Anglo-Japanese collaboration.
However, Sainz insisted: "I have enough things to worry about myself, but I wish him the best because if I can't win, I want him to win.
"They have had a very hard winter, but last year they started behind us and ended up ahead."
The 2017 world championship gets under way this weekend with the Australian Grand Prix.