Reports suggested that the Saints had put a bid in for Mackail-Smith, 26, who has scored 17 goals in all competitions for Posh this season, as they search for potential replacements for Arsenal target Alex Oxlade-Chamberlain.
However, Fry said there had not been a bid but confirmed he had had several conversations with the Southampton hierarchy about the player.
He told the Peterborough Evening Telegraph: "Southampton spoke to me after we played down there earlier this season about Craig.
"I have also spoken to their chairman since, but there has been no bid."
Source: PA
Source: PA