Celtic have signed defender Dedryck Boyata from Manchester City on a four-year contract.
Sky Bet League One club Fleetwood made a move after being on the end of a McKay goal during a 2-1 friendly defeat at the Tulloch Caledonian Stadium.
But the Highland club, who begin their Scottish Premiership season at Hamilton on Saturday, were unmoved by the approach for the Northern Ireland striker, who has scored 49 goals in two seasons.
Hughes said: "I think everybody's got a price. It's only fair, if something is really good for Billy - let's say Manchester United came in for Billy - you would never stand in the guy's way.
"All credit to Fleetwood, they have had the knowledge to identify when we played them here that Billy is a real top-quality striker.
"I'm totally honest, I don't know if there's a bid come in or what it is, but if it's this late in the season, it would have to take something exceptional for us to let Billy McKay go."
Meanwhile, Hughes is hoping to add former Hibernian midfielder Lewis Horner to his squad before the New Douglas Park clash.
The 22-year-old spent last season at Blyth Spartans on his native Tyneside.