The club will face St Mirren in the final of the Scottish Communities League Cup on March 17, but McGlynn insists the rewards of a victory that day will not be enough to move the Jambos out of the red.
The Tynecastle club had to appeal to their supporters for help last year when HMRC issued them with a winding-up order over an unpaid £1.75million tax bill.
A share issue brought in £1.79million as fans rallied to the cause, while the club struck a deal with the Revenue that will see £1.5m repaid over three years.
The club also paid a separate £450,000 bill to the tax authorities just before Christmas, but financial concerns remain with an expected £2million shortfall in turnover that has already affected payment of wages and bonuses to players.
Those delays led to the club being issued with transfer restrictions by the Scottish Premier League and McGlynn knows their problems will not be fixed by their cup final date.
He told Press Association Sport: "I'm not the financial director, so I don't know the exact state of play.
"However, I would still encourage the fans to support the club by turning up for the games. That is the biggest thing that they can do and there was another big support on Wednesday evening at Dundee.
"But no-one should get complacent with the financial situation at the football club and think that we have cracked it by getting to the cup final. There is more to it than that."
An embargo on signing players was only partially lifted earlier this month by the SPL after settlement of outstanding debts to their playing staff, with the terms relaxed to allow them to bring in players aged 21 or younger, and only on a one-out, one-in basis.
McGlynn was then able to snap up both Danny Wilson and Michael Ngoo on loan from Liverpool, but admits he was still sufficiently hampered in his pursuit of new recruits as the January transfer window closed on Thursday.
He said: "We were never that close to doing any business. We chucked it about lunchtime.
"We knew we were not going to get anybody in, so we just had to concede. The restrictions made it very difficult for us really.
"There was no offers for any of our players either. Pleasing? Definitely. That was going to be my best-case scenario anyway, not to lose anyone. And the fact we have added Danny and big Michael is good.
"Those guys have made an impact and the fans have taken to them very quickly as well. So I'm quite happy with how the transfer window went."
Hearts reached the cup final after defeating Inverness on penalties at Easter Road last Saturday and followed that up with a last-gasp 1-0 win over Dundee in midweek.
And they achieved it with a team packed with teenagers, a situation that has pleased McGlynn considering the restrictions he faces.
"When you look at how well the young players have adapted, it lessened the need to bring in new players," he said.
"The two games there against Inverness and Dundee, those players acquitted themselves very well. It's reassuring that we have got young players with the talent to come through.
"The fans are able to link with these players much more as they are coming out of their communities. They can relate to them.
"In days gone by guys like John Robertson, Gary Mackay and Dave Bowman all broke through and went on to have long and great careers with Hearts. Hopefully these lads can do similarly."
Hearts now travel to Dingwall to face Ross County on Clydesdale Bank Premier League duty but McGlynn is not expecting an easy ride.
However, he knows the rewards are huge for a team just six points off city rivals Hibernian in fourth place and with two games in hand.
He said: "There is only one team being consistent at the moment and that is Celtic. But everyone else, from second bottom to second top, is pretty close. We are only eight points off of second place. That is possible.
"But we travel to Dingwall and Ross County have brought a few players in. They started the year with a 4-1 win over St Mirren, got a good draw at Tannadice and then a victory over Hibs, so they have had some start to 2013.
"It's not a gimme by any stretch of the imagination.
"This week is certainly up there as one of the most satisfying I've had in this job but a win at Ross County would make it even better."
Meanwhile, Hearts midfielder Scott Robinson will sit out the Edinburgh club's trip to Dingwall to face Ross County in the Clydesdale Bank Premier League as he completes his two-game ban.
The 20-year-old was shown a straight red card in last week's Scottish Communities League Cup semi-final at Easter Road after launching into a dangerous two-footed tackle on Inverness' Owain Tudur Jones.
He was hit with a two-game ban that took in the midweek win over Dundee as well as tomorrow's meeting at the Global Energy Stadium.
Youngster Gordon Smith has recovered from a viral infection while Jamie Hamill will return to training after 10 months out with a ruptured cruciate ligament.
Hearts probable squad: MacDonald, Wilson, Webster, Walker, Zaliukas, Mullen, Stevenson, Holt, Tapping, Ngoo, B King, Ridgers, Barr, Taouil, Driver, McGowan, Sutton Novikovas.