The Bradford born hit-man missed Saturday’s 1-1 draw with Millwall after the Blades put in an offer.
The 29-year-old, who joined City from Guiseley in 2009, has scored nearly 100 goals in 335 appearances for the Bantams.
McCall said: “I got a call earlier this week for James Hanson from a Championship club. We then got the bid from Sheffield United.
“It is disappointing that his agent told him about the bid, but that is football. The bid has not been accepted yet. There are discussions to be made and I don’t expect the bid to be accepted. We have offered him a deal. At the moment he is a Bradford player.
“We had to change the shape we played as a result, we were going to play with three strikers and have a go at them. We just got on with it and I’m disappointed not to have got the three points.”
The Bantams coped well in Hanson’s absence to rescue a potentially valuable point against their play-off rivals.
Millwall started the better with Jake Cooper and Lee Gregory both hitting the crossbar in the 29th minute. Gregory rifled the Londoners ahead on 50 minutes, before James Meredith poked home Mark Marshall’s cross to level 10 minutes later.
Marshall curled wide when he should have put City ahead on 73 minutes. Steve Morison had a header saved before Jordan Archer fluffed a well hit strike by Marshall in the closing stages.
Bradford City: Doyle, Knight-Percival, McArdle, Kilgallon (Dieng 31), McMahon, Law (Clarke 78), Vincelot, Cullen, Meredith, Marshall, Jones (Hiwula 67). Unused substitutes: Sattelmaier, Darby, Gilliead, Devine.
Millwall: Archer, Cummings, Webster, Cooper, Craig, Onyedinma (Wallace 70), Thompson, Williams, O’Brien (Ferguson 69), Gregory, Morison. Unused substitutes: King, Worrall, Romeo, Butcher, Abdou.
Referee: M Brown (East Yorkshire).