The Scottish champions have rejected an offer from Qatar champions Lekhwiya for the Algerian defender.
Bougherra is now in the final year of his contract but McCoist is keen for the player to remain at Ibrox.
He said: "I would hope his future would lie here but there has been a bid received which we have knocked back from a team in Qatar.
"That's where we are at the moment. I don't want Madjid going anywhere, especially not at this stage of the season when it's incredibly important for everybody.
"He played on Saturday and he did fine on Saturday. He is the same as every player at this club, there will be transfer interest and speculation, but you just have to handle it.
"You have to remember what your job is and your job is to turn up and train and play. I don't have any worries, I would hope that Madjid would know that, as would the rest of the boys."