The media have linked him to a loan move to Sheffield United and even Notts County but he has yet to be told anything official from Birmingham City boss Alex McLeish.
Speaking to the Birmingham Mail, McSheffrey said: "I've read a lot but, to be honest, the manager spoke to me before the transfer window to say he would listen to offers on a permanent basis.
"I'm seeing a lot of quotes and stuff but the manager hasn't said a thing to me about any loans, so I'm just a little bit in the wilderness as well in that respect.
"So at the minute, no, nothing is going on. That's why I was playing in the reserves the other night.
"I will just see what happens over the international break because if anything did happen, it probably wouldn't be until next week anyway."
"Obviously I need to get my career back on track. I had an injury-plagued season last year but I'm feeling fit and strong now.
"So I need to get my career back on track. If it's going to be a loan, and I'm not wanted here, then I'd consider what's out there."