The club are known for going after individuals who may trick them in the transfer market under Vincent Tan.
And when McKay admitted that he deliberately made up stories regarding other clubs being interested in Sala to drive up his transfer fee, Cardiff were not happy.
Given the passing of the player and the issues around paying his transfer fee to Nantes, the club are considering suing McKay.
A Cardiff source said to the Daily Mail: “McKay told us that another Premier League club had given him a written mandate to get the player.
“We’ve spoken to that club and there was no such mandate.
“We want to understand the truth about whether anyone was interested at all.
“Vincent Tan hates people cheating him. He doesn’t take things like that easily.
“He’ll stand up to people.”