United are searching for a long-term successor to Edwin van der Sar, who is being tipped to retire at the end of season, and McGregor - who has impressed of late for club and country - has been linked with a move.
When questioned about United's reported interest, Smith said: "It's a bit early for speculation. We have just finished one transfer window!
"We are talking about him playing for Rangers and Scotland at the moment. We've got big games coming up so we are not really concerned about any speculation. We are not even anywhere near Christmas yet.
"He has been excellent for us over the season, not just currently. It's been brought to the fore because he has come back into the international set-up and got a few games there.
"But, if you've been watching Rangers over the last few seasons, his level of consistency and standard of performance has been terrific and he has been excellent for us over that period.
"We have been very fortunate that we have two good goalkeepers here."
Meanwhile, Smith has branded the SFA's disciplinary system unfair in the wake of McGregor's retrospective ban.
The goalkeeper was given a one-match suspension for a kick aimed at Aberdeen's Chris Maguire after the incident was viewed by the SFA's review panel a couple of weeks after the incident.
McGregor's punishment was handed out after team-mate Nikica Jelavic was ruled out of action for several months with ankle ligament damage sustained in a challenge with Ian Black, which earned the Hearts midfielder only a yellow card.
"That's one of the complaints you would have, I don't think there is any doubt about it," Smith admitted.
"They are willing to put the referee under scrutiny for missing something, yet not put him under scrutiny for something he maybe didn't judge properly.
"We have seen a player suspended for what they are considering to be intent and we've got another one out for three months for something else. We are disappointed to lose him but we get on with it."
The decision to ban McGregor was taken while he was on international duty with the Scotland team, earning plaudits for his performances.
Smith added: "I don't think anybody, including the authorities, is happy with the situation as it is at the present moment.
"I think there are quite a few anomalies but we have to go by the ruling at the present moment.
"Certainly, it led to a slightly embarrassing situation for the SFA, where they were having to ban a player they were playing on the day. It's just one of those things that happened.
"Ourselves and Celtic appear much more regularly on the telly than others and are probably under more scrutiny. If we have a disciplinary system that applies to one, it should apply to all.
"But it's been there for ages, it's just something that I feel is a wee bit unfair but we have to put up with it."
Mystery has surrounded the identity of the person who made the complaint against McGregor, with Aberdeen boss Mark McGhee claiming no-one at his club brought the matter to the attention of the SFA.
But Smith said: "I don't think there is a particular person, I think it's a disciplinary body who view the weekend's games who bring it up. I think that's the way they do it anyway.
"They are clever enough not to blame one person. Then it goes from there and it gets put on the desk of the chief executive.
"I think that was the problem, they didn't have a chief executive in place and no-one else to take his place.
"He (Stewart Regan) only arrived on the Tuesday and that landed on his desk straightaway, which is maybe a little bit unfair.
"We are not the first team to lose a player through this circumstance and I think it is something that has to be tidied up."
Meanwhile, Rangers skipper David Weir believes McGregor's ban makes no sense considering no contact was made with the Aberdeen player.
He said: "It's not for me to say what the rules are. To be honest, I don't really know what the rules are.
"I just think, for something like that where Allan has not made any contact, whether there is intent or he has done something silly, fundamentally he's not done anything.
"We have a lad who was injured the previous week because of a bad tackle and he is out for three or four months and there is no punishment there.
"It just seems like there are big discrepancies in how things are. To me, it just doesn't make a lot of sense.
"You would need to ask Allan if he is disappointed but I would be disappointed if I was him, bearing in mind he hasn't made contact with anyone or touched anybody.
"To get suspended for that, in my opinion, is a bit strange."
As for speculation surrounding McGregor's future, Weir added: "January is a long time away first of all and I don't know if Allan would be happy to leave.
"I think he is quite happy here at the minute. It's a great place to play football, he is playing Champions League football and he is doing as well as he is doing.
"There are a lot of factors to take into consideration and obviously you've got to have someone who wants to take you.
"It's irrelevant until you get to January and find out if someone is interested but we are more than happy to have him here."