The Championship side tabled a bid last week, believed to be worth half a million, for Irishman Keogh.
"We made a bid, which was rejected, but he clubs have remained in discussions," said McCarthy, who will not be put off the talented youngster.
"It is no secret we have been looking at Keogh and would love to sign him, but then we have been in discussions about lots of players."
McCarthy is also interested in signing Torquay forward Jamie Ward.
Keogh's former club Leeds United are entitled to 25 per cent of any transfer fee Scunthorpe receive for the player.
The 20-year-old's contract at Glanford Park runs out in the summer, and he is currently free to talk to interested clubs.
As he is under the age of 24 United will be guaranteed a transfer fee if he moves at the end of his current deal, with a tribunal setting the price if a price cannot be agreed.