McLeish announced on Wednesday that he had increased his offer for the wideman and remains keen to lure him to St Andrew's before Tuesday's transfer deadline.
But after Wigan counterpart Roberto Martinez vented his anger at the bid going public, McLeish was keen to stay out of the row.
He said: "There is nothing I can say on it.
"Until the Is are dotted and the Ts are crossed there is no point talking about it.
"I've no comment on it [Martinez's reaction]. That will only sell you papers."
McLeish's need to strengthen his squad was apparent in the opening half as a side containing eight changes struggled against npower League One opposition.
Dale skipper Gary Jones put the visitors ahead before a fortunate James McFadden penalty levelled the scores.
But McLeish's side were much improved after the break and goals from defender David Murphy and Matt Derbyshire put them in the driving seat.
Jones grabbed his second with 14 minutes left but Birmingham held on for the victory in a competition which McLeish is keen to progress in.
McLeish said: "We will try our best to go as far as we can.
"It depends on the draw and you need a bit of luck but you never know.
"With the greatest respect to the Carling Cup the Premier League is our greatest priority but we want to go far.
"We knew an upset could happen. You see teams stumble every year but at 3-1 I thought we would go on and score more.
"But credit to Rochdale as they fought back well."
Dale boss Keith Hill refused to blame the officials for handing the hosts a way back into the tie.
Full debutant Derbyshire was given a penalty as he went down under a Marcus Holness challenge which incensed the away support.
But Hill said: "It's a bit of a hard luck story.
"The deliberation form the linesman and the referee confused me. "I'm not sure if he got it wrong but it took some time, but we can't blame the officials for losing a game.
"We should be tuned on and shouldn't let them back into it so quickly.
"It should have been avoided but I'm more concerned with our performance."
Dale were bright in the opening half and could have gone ahead through strikers Chris O'Grady and Anthony Elding before Jones struck.
But despite the bright performance Hill was in reflective mood as his side left the ground empty handed.
He said: "It's difficult when you are emotionally involved but I will watch it again.
"I Sky plussed it as I am led to believe it was a good performance.
"But the performance will be forgotten in a few days while the result stays in the mind and on the records.
"We carved out some really good opportunities but we are on a steep learning curve.
"We have to allow players to make mistakes as that's how you learn. "But mistakes mean you lose games and modern football suggests that losing games loses you your job."