Smith is one of those who could be sold, with some reports suggesting Manchester United could be ready to make a £7m offer in January.
Smith received the Player of the Year award for 2002-2003 at the Supporters Club's annual dinner on Sunday night, and McKenzie voiced that the club was determined to hold on to their home-grown player.
He said: "Your Player of the Year personifies Leeds United. I have told the City - and I mean this - that I would go before Alan goes."