Jennings, 19, has hit 18 goals in all competitions this season to help Celtic sit second in the table. He also made a goalscoring debut for England C last month
Stalybridge chairman Ron Gorski did not reveal the amount offered by the Iron, but said he wants more than £100,000 for the player.
"We will not stand in his way but this offer grossly undervalues his worth," he told Press Association Sport.
"We expect a six-figure fee for Connor and we have had eight clubs showing an interest. We've never had a player like him, he is hugely talented."