The former England manager is among the favourites to take over at St James' Park after Alan Pardew left Tyneside for Crystal Palace.
McClaren dismissed talk of a move to Newcastle earlier this week and again stated that he is committed to guiding Derby back into the Premier League after his side's 1-0 win over Southport in the FA Cup on Saturday.
When asked about being linked with the Newcastle job, the head coach is quoted by BBC Sport as saying: "Pure speculation. I've heard nothing and I see all the rumours.
"I have said that this, Derby, is my focus. We have a really good chance in the second half of the season, and we have a job to do, to challenge and perhaps get into that Premier League.
"It's pure speculation until it happens. I'm enjoying working with the club and the board. We've all worked together very well over the last 15 months. I want to finish the job here."
Derby are third in the Championship and needed a last-gasp Chris Martin penalty to see off non-League Southport.
