Phillips has had to be content with a bit-part role this season behind the likes of Christian Benitez, Garry O'Connor and Cameron Jerome.
McLeish, whose side visit Liverpool on Monday, said: "We don't have any plans to get Kevin out of the door.
"Kevin is still sprightly on the training ground, he is still worth something to our squad. His contribution to the Bolton game recently was good.
"I know he wants to play every week and feels at 36 he is capable of doing that so I understand his frustration."