However, a contrasting report in the Daily Mail claims that Leicester have had a £7 million bid accepted and are in pole position to sign the Scottish midfielder.
Warnock has only been Crystal Palace manager for one day, and has already seen Wilfried Zaha link back up with his former club on a season-long loan deal.
The addition of McArthur would further strengthen the Eagles midfield as the club look to turnaround a poor start to the new season which saw Tony Pulis leave on the eve of the new campaign.
They have lost their opening two fixtures but Warnock will be hoping to guide the team to victory when they travel to Newcastle on Saturday.
A deal for McArthur would appear to be a way off at the moment as the Eagles will have to convince the player to make the switch south rather than joining Leicester.
McArthur has made over 150 appearances for the Latics since joining the club for £500,000 from Scottish side Hamilton Academical in 2010.