Out of respect for Neil Lennon he refused to even discuss the possibility of a vacancy in Paradise in the months ahead.
McCarthy, back in Glasgow with ex-Rangers idol Ray Wilkins to help raise £30,000 for the Prince & Princess of Wales Hospice, told the Scottish Sun: "I've never been asked to manage up here.
"But I'm the boss at Wolves, so isn't it an unfair question to ask someone?
"I'm managing a team in the Barclays Premier League, sitting 13th. Everybody says it's the best league in the world.
"But it's certainly the richest. We have Chelsea with Roman Abramovich and Sheikh Mansoor at Man City. Why the hell would I want to go anywhere else?
"You have the profile, the size, the job, the league. It's just so exciting, it's brilliant. So forgive me if I don't want to go anywhere.
"Of course, nothing is forever — unless you are Alex Sir Ferguson. You are not going to move out of the Premiership to come up here or go anywhere else. Not unless Barcelona or Real Madrid ask for someone.
"And that's not going to be me or Owen Coyle who will get those.
"Why are all the top managers coming to the Premiership? Myself and Owen and a few of the others are doing alright in that league. Celtic disposing of anybody is not a subject I wish to discuss.
"Neil Lennon is the manager, and but for a missed penalty kick at the end of last season he'd have won the league.
"That's what it comes down to, that's the fine margin at play.
"And he would have been lauded around the place and everyone would love him. So let's get behind him."