Forest, who host Scunthorpe at the City Ground on Saturday, have lodged a bid for the player.
But Saddlers boss Paul Merson insists he will not let his star striker leave on the cheap, and has warned his counterpart Gary Megson that he will have to dig deep.
He insisted: "There've been quite a few enquiries about him, but Matty is worth a few quid.
"Leroy Lita went from Bristol City for £1m and Matty has got more potential than him."
Fryatt, who scored against Forest last week, is rated at £1m by the Saddlers but his contract expires next summer - and will be free to exercise his right to move clubs if he so desires.
Forest chief executive Mark Arthur confirmed: "We have made a substantial offer for the player."