"I've thought about it. Every time a goal goes in against us, I worry about the direction we're going in," he said. "It would be difficult to survive and there would have to be savage cuts. We would have to make big changes. It would be sad day for Leeds, and I know that everyone would find it difficult to accept."
McKenzie is working all hours in a bid to ease United's financial woes and is believed to be close to sealing a deal which would see the re-financing of the club's massive debt.
McKenzie wants to appoint someone who can handle football matters and former Chelsea chief executive Trevor Birch has held talks with United.
He was replaced at Chelsea by Peter Kenyon, former chief executive at Man Utd.
Birch,44, is one of the most respected administrators in the game and he would be a major coup at Elland Road. Any appointment would allow McKenzie more time to work on re-structuring the finances and the development of the business side of the club.
Birch is currently holidaying in the Far East, but talks are set to continue shortly.