The 20-year-old centre-back is approaching the final year of his contract but the stricken Gorgie outfit have a break clause in his deal that allows them to cut McKay free this summer.
And with the club no nearer to securing final confirmation from their Lithuanian owners on a rescue package that will hand control to millionaire businesswoman Ann Budge, McKay admits he is worried.
The Scotland Under-21 cap is one of 12 players who could eventually walk away from Tynecastle if the Jambos are unable to offer extended deals but McKay insists he wants to remain with Hearts.
He said: "At the moment I don't know what's happening. I'm still waiting to find out whether or not I'll be getting kept on. Obviously the survival of the club is the most important thing - but at this stage it becomes frustrating for all the boys whose futures are hanging in the balance.
"Obviously the future of the club is hanging in the balance too but it is frustrating not knowing whether we're going to be here or not. Right now it's just a waiting game.
"It won't faze me if I'm not kept on, though. I'm confident enough in my own ability that if things weren't to work out at Hearts then I'd be okay. But I'd love to stay at Hearts, they're the team I've wanted to play for since I was a wee boy.
"It's difficult for the boys to sit about and wait but there's nothing else you can do. You can't check if another team wants you, you've just got to wait until Hearts come out of administration. Until then you're helpless."
With Hearts 21 points adrift at the bottom of the Scottish Premiership and just two defeats away from relegation, one player who does seem destined to be playing for Hearts in the Championship next season is McKay's defensive partner Danny Wilson.
The Scotland defender has vowed to see out the final year of his Jambos deal even if the club is demoted and McKay said he would love to stay and learn from his team-mate.
"We've got a young back four but I think we've done the best when we've all worked together and had each other's back. Danny and I have that partnership at centre back where if I make a mistake, I know he has my back.
"It's like Gary Cahill and John Terry at Chelsea. They cover each other at centre back and don't even look up because they know you're supposed to cover your centre backs in a partnership.
"I look up to Danny because of what he has achieved for someone so young. He's been at Rangers and Liverpool, played in the Champions League and played for Scotland.
"When Danny came here he was one of the few boys that you look up to in the dressing room because obviously the other boys are the same age as me and haven't achieved much more than I have myself. But Danny is one I've looked up to all season. He's a good leader and worthy captain.
"He's said he's prepared to stay at the club even if we are relegated. I'm sure Danny would have offers from all over the place because he's a great player so it would be a great gesture for him to stay and I'm sure if Hearts were to come back up then everyone would appreciate that."