McLeish, who discussed the move "at length" with his family, admits he was "a little surprised" by the hostility but hopes it will not get out of hand.
He said: "I'm sure a few people wanted to punch me! At the same time, I can understand the passions and emotions of football.
"As long as it doesn't get out of control, then I can understand people's feelings.
"Have the passion but don't let it don't to extremes."
McLeish added: "Am I fazed by it? No. Have I had it before? Yes.
"Have I come out of it stronger? Yes, so I really look forward to the challenge of managing this fantastic football club."