The 31-year-old was reportedly angered following a meeting with the Canaries board on Friday afternoon and made sure they were aware of his intentions to depart East Anglia.
Holt hit 15 Premier League goals last season but had a transfer request rejected earlier this month and McNally is adamant that he will remain at Carrow Road as will all of the clubs senior players.
He said: “We are delighted he has loved it here, 70 goals in three seasons, every level of football he has scored at – 15 in the league last year, our captain, our talisman and the fans hero.
“He has won player of the year three years in a row and that has never been done at this marvellous football club and he is not for sale.
“If ever, hypothetically, you were to sell someone with such a record, what is the replacement cost? It is certainly bigger than the total budget that I have seen quoted for the club Lambert is talking to – but Grant Holt is not for sale.”
“None of our senior players are for sale and none of our younger players either – none of our first team squad are for sale,” he said.
“We are in a healthy position and a very strong financial position, the best we have been for over 100 years, and we were planning for next season with that in mind with Paul.
“Our manager is in charge of who is coming in and going out, and we have not turned down one request for a player from Paul for financial reasons since he came to the club.”
Rumours have gathered that Holt will follow manager Paul Lambert to Aston Villa once he is confirmed as the replacement for Alex McLeish whilst Sunderland and Everton are thought to be monitoring his situation.