Liverpool are the latest club to be linked with a move for the Australian star yet McKenzie claims he knows nothing of any new interested parties.
"There are rules and regulations in the football world, which are that a club would have to make an approach to us if they wanted to begin negotiations," McKenzie told the Yorkshire Post.
"In theory the player's agent should not be able to talk to any club without our permission.
"Now we reach the farcical situation of a mystery club - if it exists at all - coming in without us knowing anything about it. The whole thing is turning into a farce."