Former incumbent Chris Hughton was sacked last month, with Neil Adams taking over for the final five games of the Premier League season.
Norwich managed to take just one point from those matches, a run that saw them relegated back to the second tier after three years in the top flight.
The likes of former Norwich player Malky Mackay have been linked with the job at Carrow Road, as has current Celtic boss Neil Lennon.
When asked if Norwich had made an approach for anyone, McNally responded: "No, we haven't. We are still in the process.
"We announced the search started after the season ended. It is probably going to take a little longer.
"We are talking to a short list of candidates. We are taking a few days longer than we indicated but it is only days."
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