Canseco also challenged his former Oakland Athletics teammate to a home run derby.
McGwire, who now serves as the hitting coach for the Los Angeles Dodgers, was having none of it.
"It's too late. I don't care to ever speak to him again," McGwire told ESPNLosAngeles.com on Wednesday. "What he did was wrong."
McGwire remains upset that Canseco named him in his 2005 book, Juiced: Wild Times, Rampant 'Roids, Smash Hits & How Baseball Got Big, which offered details on baseball players who used performance enhancing drugs. Canseco admitted to using steroids in the book.
In 2010, McGwire acknowledged he used PEDs as well during his career.
Over the weekend, the Oakland Athletics held celebrations marking the 25th anniversary of their 1989 World Series win.
McGwire didn't attend, but sent a taped message in his absence.
Canseco was at the event and apologized to McGwire when talking to reporters at the ceremony.
"It haunts me till this day that I said those things about him, even though obviously they were true," Canseco told reports. "I could have gone about it a different way and gotten my point across."
Canseco has apologized before to McGwire, including in 2012 when he showed up at a Dodgers game wearing a T-shirt that said: "Sorry for everything, Mark."