The South Yorkshire club have made enquiries about Keogh's available as they look to reunite him with his former Scunthorpe strike partner Billy Sharp at the Keepmoat Stadium.
McCarthy said: "I haven't spoken to [Doncaster manager] Sean O'Driscoll but I spoke to Mickey Walker, their director of football. With them signing Billy Sharp I think it is one of those things which would be nice to do."
McCarthy was also quick to emphasise that any deal for Keogh would have to be a permanent one.
"There's no chance of him going out on loan. What would be the benefit to us?"
The Molineux chief is in no rush to sell the 24-year-old but he can't guarantee him first-team football either, particularly having used Kevin Doyle as a lone forward for most of last season.
However, McCarthy isn't sure Keogh is ready to quit the Premier League just yet.
He added: "I think Andy will want to stay in the Premier League. He was our best player at the start of last season.
"There's also no chance of Andy going out on loan."
Keogh may have further trouble making regular appearances in the Wolves first-team, following the acquisition of Steven Fletcher from Burnley.