The Birmingham City player nearly joined City on loan in February and told the CT: "When it came out that I could go out on loan last season, there was contact between my advisors and the club."
Nothing came of it and McSheffrey went to Nottingham Forest on loan.
"So it was an option but to be fair to Coventry and Ray Ranson, Birmingham just wanted me to go out on loan to get fit for a month and see what happens and I could see Coventry's point of view that they didn't want to be used to get someone else's player fit.
"So if something was going to happen, they would have preferred something more permanent.
"Since I left Nottingham Forest, I haven't had any contact from anyone and I have hardly spoken to my agent. I have just concentrated on getting fit and trying to make sure I am fit for pre-season to get a fresh start and have a good season."