The Dutch youth international's agent recently claimed that Villa had made enquiries about the 22-year-old's availability at the end of the season.
Despite admitting that he is aware of Dost's ability, McLeish has insisted that no discussions have taken place.
"What is the story? That he turned us down?," said McLeish. "Well, we've never approached Heerenveen for Bas Dost, but we know who he is.
"We've watched a lot of the Dutch League this year, but I don't know why his agent is linking us with him when we've never made any approaches or even sounded him out.
"There's been no contact whatsoever with the agent or anyone. Nothing."
Dost has scored 28 goals this season.