"I think that all the speculation is going to come to an end soon because at least we're going to get choices before too long," McCaskill said on CNN's "Late Edition".
The Missouri Democrat said she talked to Obama about the process this week, but she still doesn't know how soon he will make the pick, according ABC News.
"I don't honestly know," she said. "I talked to Barack about it this week and you know what he did? He just smiled."
She repeated Sunday that the Obama camp has not asked her to hand over personal documents as part of a vetting process for possible vice-presidential candidates.
"They have not," responded McCaskill when CNN's Wolf Blitzer questioned her on Obama requesting personal information. "I'm always honored to be mentioned," she added.