(defmacro test-gensym-in-macrolet (my-setter &body body)
  (let ((sym (gensym)))
    `(let (,sym)
       (macrolet ((,my-setter (y) `(setf ,,sym ,y)))
     ,@body))))

(test-gensym-in-macrolet my-setter
  (my-setter 5))

;; Result
; in: TEST-GENSYM-IN-MACROLET MYSET
;     (EULER::MYSET 5)
;
; caught ERROR:
;   during macroexpansion of (MYSET 5). Use *BREAK-ON-SIGNALS* to intercept.
;
;    The variable #:G668 is unbound.
;    It is a local variable not available at compile-time.

;     (LET (#:G668)
;       (MACROLET ((EULER::MYSET (EULER::Y)
;                    `(SETF #)))
;         (EULER::MYSET 5)))
;