The Leeds United forward has been repeatedly linked with a move away from the club but Cardiff failed with an offer believed to be worth in the region of £4m.
"To be honest, [a move away] wasn't that close at all. Cardiff made a bid for me and the club turned it down," McCormack told Sky Sports News.
"There were a few more bids made for me, but the club said I wasn't for sale at any price. You have got to respect the decision, get your head down and get on with it."
McCormack has scored 22 goals for Leeds this season.