All three goals came in the second half, including Ruben Rochina's fortunate strike, a cool finish by Jordan Rhodes and a fine strike from Colin Kazim-Richards.
The loss left Forest in 11th spot, three points from the play-off places, and McLeish said: "We've had a lot of names thrown at us which suggests that they're available, which we are looking through.
"I don't think there's a pot of gold available but we'll present the case to the owners and that's the way we'll work, to see what can be done.
"You couldn't have seen that result coming at half-time. They get a bit of a fluke goal and after that, there was a good reaction from our team.
"We had some pressure on them, culminating in a great pass, move and cross from Dan Harding to Billy Sharp and you've got to say the Blackburn keeper played a big part in getting three points.
"They scored a minute after Dexter Blackstock came on, which really put us on the back foot and when you go three down, it looks as though you're playing against world beaters, and they can enjoy themselves."