McKenzie came in for heavy criticism following the Australian international's £5 million sale to Liverpool because Leeds agreed to hand £2 million of the fee over to the player's representatives.
The Yorkshire outfit are currently battling to control debts of around £80 million, and McKenzie admits the pressures of the job are so great his family would rather see him walk away.
"In a sense I don't need the job," the Elland Road supremo told the Sunday Times.
"The Kewell deal was a bad week and my wife and family wanted me to walk away and let someone else do it.
"I don't like the profile but I have committed myself to something and I have to see it through.
"I never thought of resigning because it's too premature. I have to give things a fair crack of the whip.
"I actually feel quite passionate about the situation. Our huge fan base has been let down.
"I don't expect to be given accolades, in fact I expect the opposite. But it's difficult to turn your back on."
