Blues enjoyed a busy transfer deadline day, recruiting Alexander Hleb, Jean Beausejour and Martin Jiranek but McLeish was keen to add a striker.
City previously made a bid for highly-rated Zamora at the end of last season, only to see their £8million offer rebuffed.
And while McLeish revealed he went in again for the 29-year-old, he never seriously thought completing a move would be possible.
The Scot told 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 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."