The Scotland international has reportedly caught the eye of the likes of West Ham United and Sunderland after finishing top of the scoring charts in the Championship with 28 goals.
Despite McCormack's goals, the Elland Road outfit endured a disappointing season in England's second tier, eventually finishing 15th.
Leeds' campaign was stifled by a number of off-field issues which included the uncertainty over manager Brian McDermott's future and Cellino's controversial takeover.
However, the Italian has moved to pour cold water on the reports that claim McCormack will be moved on this summer.
The Daily Express quotes him as saying: "I came here with a big dream, to find if I am good at running a club.
"I spent the last 23 years [at Cagliari] buying beautiful players for £1 million. I saw them grow and then they have to leave. Every time you have to start again because the club doesn't grow like the players.
"If I can do the same thing here at Leeds, the club can grow like the player, so we don't have to sell - we can keep them."
Cellino's words will come as a big relief to Leeds fans who will no doubt be hoping the 27-year-old stays put to help with the promotion push for next term.
However, despite Cellino's words, West Ham could return this summer after they missed out on McCormack's signature in January after their bid, which was thought to be around £4 million, was rejected.