Reports have suggested McLeish might decide to quit the Blues after their relegation to the Championship.
McLeish told TalkSport: “I’ve got a good contract with the club, we re-negotiated a new one.
“It’s tough on us to be relegated but we don’t lie down and Bury our heads in the sand.
“We’ve got to show leadership, I’ve got contract which says I’m here next season and until told differently that will be the case.”
