Reports have suggested Real Zaragoza are keen to offload Pennant and have been offering the 27-year-old to several Premier League clubs.
Pennant has struggled to establish himself at Zaragoza and he has been linked with moves to Wolves, West Ham, Stoke and Wigan.
McCarthy revealed he had not spoken to anyone regards Pennant, but he refused to confirm if he was interested in the former Arsenal and Birmingham wide man.
"It's an interesting one, but I haven't been offered him or spoken to anyone about him," McCarthy told the Express & Star.
"That doesn't mean to say I'm not interested in him."
McCarthy did reject speculation linking the Molineux outfit with a move for Chateauroux midfielder Kevin Constant.
"I haven't been in touch with anyone about him," added McCarthy.