The Blues boss appears to have admitted defeat in his attempts to lure the Frenchman to St Andrews because the two club's cannot agree on a price for the Latics forward.
"That one looks as if it is dead at the moment. I'm not saying totally dead, but it looks like a difficult one, given the asking price. Whether we can go to that level I'm not so sure, so maybe that's for another day," McLeish told Sky Sports News:
"We are looking at three or four other situations. We haven't improved the squad, we have just kept it at the same level.
"You consider Nikola [Zigic] coming in and [Ben] Foster coming in to replace the two guys. You might say Nikola is far more experienced at the top level than Chucho, but he has got to prove that he can be as effective."
"There are a lot of names we have been linked with and some are half-true and some are very much flyers. I don't want to say yes or no to certain names that have been mentioned.
"N'Zogbia is one I can mention because we have put a bid in there, but as for the others I don't think that it is right I should answer until we have got something over the line.
"It only serves to disappoint, certainly the supporters, if we don't get some of the names we have been linked with bringing into St Andrews.
"We will pull out the stops and try and bring a bit of added quality."