"We're linked with players all the time and it doesn't surprise me when we're linked with good players," Grayson told Leeds' official website.
"Speculation is there with a lot of players, but we try to do our business the way we do it and bring in players that people don't know about.
"I'd be lying if I said I wasn't aware of McArthur. We know about him, he's a good player, and he's been linked with a few Premier League clubs, but there's no deal in place and we have no intention of putting in a bid for him.
"I think some clubs use Leeds United to increase the price - I'm not saying McArthur's club have done that, but it is frustrating."
Source: PA
Source: PA