McInnes is believed to be among the contenders to replace Roberto Di Matteo at The Hawthorns after the Italian's sacking.
McInnes admits the speculation is flattering but for the moment his employers are St Johnstone.
"I think you're always looking to work at the highest level possible," said McInnes.
"But I'm enjoying my job at St Johnstone, enjoying trying to improve things year in year out.
"I've got a great set of lads and a fantastic chairman to work for - but in time you never know.
"I had a fantastic time there as a player and really enjoyed working for West Bromwich Albion and had a great affection for the club - I still do.
"It's flattering to be linked as most people would say but I'm also a bit sceptical and I'm just concentrating on the job I've got at St Johnstone."