However, McGhee claims it would be "grossly unfair" if he was sacked as Aberdeen manager.
The Dons have now gone 10 games without a win and he has the fans on his back.
Mind you, he didn't make the perfect start when they took him on by saying at the press conference: "I applied for the Celtic job but they turned me down, and that was my number one choice".
Mark McGhee: "The circumstances which have put us on course to finishing outside the top six have been mostly outwith my control.
"My brief when I arrived was to stack the squad with young players and bring about change over a prolonged period. That includes bringing in new players and changing the mentality of some of those already here.
"The directors know what was said and what is going on behind the scenes in an effort to to make sure things are a lot better next season.
"I can't legislate for the possibility of the directors now deciding that what has happened since then is unacceptable. I can only be honest and say I feel I've done what has been asked and believe what I am doing will bring benefits in the long term.
"There is no chance of me walking away, though. I still don't believe I have become a bad manager. If anything, it has made me even more determined to gain success with Aberdeen.
"But I will prove that the people who showed faith in my ability to be a successful Aberdeen manager were right. And I will prove to those who are criticising me - claiming I am not up to the job - are wrong."