The 23-year-old is likely to play his final game for the Reds away at Wigan on Saturday.
McPhail told the Nottingham Evening Post: "I haven't been back to Leeds since I came down and I love Nottingham.
"I would love to stay at the club and have made that clear."
Forest chairman Nigel Doughty revealed recently on a local radio station there will be no money available for new players until Forest are in a 'competitive' position.
McPhail has played 13 times for Forest since he joined on loan in September. Forest cannot extend his loan deal because of his age.(the maximum a Premiership player his age can stay at a Nationwide League club is 93 days)