Media reports this week had suggested that the Hammers, now run by former Blues owners David Gold and David Sullivan were planning a summer raid on Blues but McLeish has laughed off such suggestions.
However, Larsson and Ridgewell will be out of contract this summer and Benitez is only on loan at St Andrews with Blues having an option to buy the Ecuardorian forward from Santos Laguna at the end of this season.
"I'm not annoyed. It's good fun, all part of the banter," McLeish has told Sky Sports.
"I'm not surprised by anything I read in the papers or see in the media nowadays.
"The mind games, the Premier League's high profile, all makes for good reading and you get a good laugh sometimes."
"In terms of players who are out of contract, there are some discussions ongoing.
"We have got some players coming up to their option periods and we plan to take up those options and let them know more towards the end of the season.
"As regards Christian, I would like to keep him here.
"But we have still got work to do and I don't want to talk about anyone's futures until we get the job done finally and the season is over."
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