McCann confirmed Celtic’s interest in the 22-year-old last week and has now revealed the Ladbrokes Premiership leaders followed it up with an offer.
The defender signed a two-year contract when he arrived from Wigan in the summer and Dundee are holding form in their valuation.
McCann said: “There’s been a bid, a low bid, very low, but nothing since. I would think there would be more interest in the player but clearly they were told it wasn’t enough and that will be the message if it continues in that vein.
“If someone wants to come in and take our best players, it has to be right for the club. It’s not about cherry-picking Dundee because there’s bigger sides out there. I’m not up for that anymore and I think the days of this club accepting that should be long gone.
“You see other clubs are not accepting it now and that’s right. Why should clubs who are deemed smaller clubs just give up their talent? If they are deemed good enough to go to a bigger club then they should be paying the price for the player.”
Hendry previously won a move from Partick Thistle to Wigan and McCann feels the centre-back has taken the speculation in his stride after being linked with the likes of Crystal Palace and Bournemouth.
“He is dealing with it absolutely fine, he’s getting on with it,” the former Scotland international said.
“He knows there is interest there clearly, he knows he’s a good player, we know he’s a good player and if he’s performing then clearly he is doing something right.
“I like to think there are a number of players performing well and that means we are all doing something right. And interest is a natural thing to follow from that. We just need to cope with that.”
McCann is hopeful of adding to his squad next week but his first focus is a trip to Hamilton on Saturday as his team look to bounce back from a 1-0 home defeat by Hibernian.
“We are creating an awful lot of chances and played some really nice stuff the other night,” he said.
“I know we coughed up a couple of chances ourselves but that can happen when you’re playing an open style of football. It was two teams playing a type of football that people like to see, I thought it was an entertaining game.
“But we have to keep striving to get the goals that are going to get us wins and get us climbing up the table.”