De Jong is the subject of an offer from Newcastle United.
McClaren told Sky Sports News: "We do not have to sell and, football being football, everybody has his price. For Luuk de Jong to leave this club then it will have to be a very good offer, one that we cannot refuse, and at the moment no-one has given us that yet.
"There are more than just rumours. There is obvious interest as everyone knows.
"Of course we want to keep Luke de Jong and we want to keep our squad of players as it is. We want to build and not to take players away.
"We have already sold Ola John and I have told the club I do not want to sell any more."