The Blues boss has already spent £6million apiece on England keeper Ben Foster and Serbia striker Nikola Zigic but considered them value for money.
McLeish is adamant he will not be held to ransom as he looks to bring in further new blood as Blues prepare for their pre-seaspn tour of Hong Kong and China.
He said: "With some players it's quite difficult to get over the line because of the prices that some clubs are asking for them. They're entitled to ask what they want, but we're not quite meeting their valuations.
"We will keep persevering until we've gone as far as we think we can go and then, if it doesn't happen, we'll look to Plan B.
"There are thousands of players out there but it's about narrowing it down and finding the right ones but also at the right price."
Source: PA
Source: PA