McDonald is currently in Wolverhampton waiting to undergo a medical with the Molineux outfit after United reportedly accepted a £750,000 offer for his signature, but Weir has revealed that a deal has yet to be completed.
The Scot told reporters: "Obviously we're aware of the situation with Kevin going to speak to them. We couldn't really stop that.
"It would be a blow to lose him, you can't get away from that. But we'll see what develops, there's still a bit of water to go under the bridge."
The 24-year-old has scored five goals in 91 appearances for Sheffield United since joining the club from Burnley in 2011.