United were reported to be the club interested by the Scunthorpe Telegraph, while the News Of The World claims that it is Barnsley.
Cheltenham will only confirm that the approach is from a Championship club, and insists a transfer is still some way off.
"No deal has been agreed. I am still confident that we can keep him here
and we will talk to him about extending and improving his contract,"
Baker told PA Sport.
"We understand that the player would want to talk to the club involved but we will also get the opportunity to talk to Kay before he makes a decision.
"I do not feel it is a done deal yet as we would want to talk about
sell-ons and other clauses."