Doncaster signed Billy Sharp from Sheffield United for £1.15milllion last week and their coach Sean O'Driscoll said he had been in touch with Wolves in a bid to recreate the strike partnership that helped the Iron win the 2007 League One title.
McCarthy, however, has yet to receive any bid from the Keepmoat Stadium and does not think the forward would be willing to drop back into the Championship.
"I always find it strange when managers talk about other team's players. They've signed Billy Sharp - if they want to pair them up then they have a lot of things to do," he told the Express and Star.
"First, contact us and make a proper bid. Secondly, if we accept it, then they can speak to Andy, and that might not be the easiest thing in the world.
"It might not be his desire to play with Billy Sharp or go to Doncaster. I think he'll want to stay in the Premier League.
"If they want to do something, they've got to contact me not ask 'Is he available?' because we know he is, they've got to say 'We want him and we want to bid x-amount.' That's how it goes."
O'Driscoll said on Monday he had made "tentative enquiries" but the Yorkshire side do not appear ready or able to make a bid.
McCarthy is unwilling to let Keogh leave on loan, which may be good news for the Iron as they will receive 15 per cent of any fee Wolves receive for the forward in a permanent move as part of the deal that took him to Molineux.