McCormack was the subject of interest from West Ham and Cardiff before the window closed, but pledged his loyalty to Leeds on deadline day.
However, before the window shut on 31st January, Leeds appeared to axe Brian McDermott and McCormack acknowledged in an interview on Sky Sports News that he would have had a 'right decision to make' if he had known about the sacking.
McDermott eventually stayed in his post as Leeds boss and McCormack can now reflect on transfer deadline day as a 'surreal' experience.
"It was surreal, a crazy day from start to finish," the striker is quoted in the Daily Record. "I don't regret it. I spoke my mind.
"Despite what some people think, I never asked to leave. I'd just been made captain of Leeds which in my eyes is a big, big deal.
"I was just a bit baffled by what was going on. It was just silly. There were six of the boys in Noel Hunt's house and none of us could believe what was happening.
"I was speaking on behalf of the whole squad. They all had the popcorn out."
Scotland international McCormack, who has scored 24 goals this season, is enjoying the chance to emulate his national team coach Gordon Strachan by captaining Leeds.
The 27-year-old added: "It's a big job for me, one I've been working towards for the last few years.
"I'm ready for it. I've matured a lot as a person and I'm really enjoying it.
"I know Leeds have had a few Scottish captains but I don't look too much to that because you can get lost in the history of the club. There's so much good history but it's all about the present and the future.
"There are a lot of old pictures of previous teams and captains. Gordon is a legend down there for what he did for the club and rightly so.
"As captain I enjoy the responsibility. Even when I didn't have the armband I was doing a lot outwith the club so it has been an easy transition."