Three formal bids were tabled to Fulham for Zamora, but McLeish stopped just short.
He admitted to the Birmingham Mail: "I never saw the striker there that I really craved - unless I was going to be paying 10, 12 million.
"I never went back in for him officially, for Bobby.
"We sounded out Fulham privately but we never made an issue of it because I had read Mark Hughes comments in the newspaper about him being a focal point for Fulham and that he had started the season great.
"I thought there was absolutely no chance, so it didn't go any further. But I can understand why there were bids for him."