The Republic of Ireland International was expected to join Leicester City on a free transfer, but for unknown reasons the deal fell through at the 11th hour and now the media have linked him back with the Blades.
"I was interested to know what they were after," Warnock told the Sheffield Star.
"But it wouldn't be true to say that he (McAteer) is on the verge of coming here because that's not the case.
"Sometimes I think agents and other people like to put this sort of thing in the papers to try and shake things up a bit."