Recent reports have linked the Spanish international with a lucrative move to the Saudi Pro League as his contract at Old Trafford enters its final stages.
As it stands, De Gea will be a free agent at the end of the month and an increasing number of players are moving to Saudi Arabia.
United manager Erik ten Hag, however, has consistently backed the 32-year-old despite a series of high-profile errors this season and the club are reportedly looking to extend his current deal.
Portugal international Diogo Costa has been strongly linked with a move to Manchester this summer but McCarthy believes United should be doing all they can to keep De Gea.
Despite a difficult season at points, the former Atletico Madrid stopper kept 17 Premier League clean sheets and duly won the Golden Gloves Award.
“When you spend every single day with a certain player, I get to see first hand more than what most people get to do,” McCarthy told 947 Joburg.
“You only see him on a Saturday or on a matchday, and if you see a player make a mistake, [fans] yelling at him, the critics hit the roof.
“But I get to spend every single day with him and he is an unbelievable guy, a great lad, very intelligent and one of the best goalkeepers I have seen.
“It would be a crime if Man United lose a goalkeeper like David de Gea.’