Audi's new chief marketing officer, Scott Keogh, will oversee the review. He held meetings last week with heads of the involved agencies in Europe.
McKinney has worked on the Audi account since 1993.
A spokesman for the car manufacturer said in a statement: "We have a challenge to increase awareness and see if there are any fresh ideas out there."
Audi's media planning and buying, handled by MediaCom, will not be affected by the review.