The 29-year-old returned to Bramall Lane for a third spell with his hometown club last week when he signed from Leeds for an undisclosed fee.
Sharp was linked with a controversial move to Wednesday in 2007 when he was at Scunthorpe and again in 2013 when Owls manager at the time Dave Jones wanted to sign him to Hillsborough on loan from Southampton.
“That was never going to happen. Never,” said Sharp.
“Put it in the papers or wherever you want, it was never going to happen.
“Twice I had the opportunity. I went to speak with Brian Laws when the (Hillsborough) pitch was under water, but I was going to go to Wolves then anyway until Sheff United came in.”
Laws, who had managed Sharp at Scunthorpe before becoming Wednesday manager in 2006, was disappointed to lose out when the forward opted to return to Bramall Lane instead in July 2007 for a reported B#2million fee.
Five years later while at Southampton, Sharp chose a loan move to Nottingham Forest ahead of a switch to Wednesday and spent the 2012-13 season at the City Ground.
Sharp’s latest return to Bramall Lane sees him team back up with manager Nigel Adkins, who he has played under at three of his previous clubs – Scunthorpe, Southampton and Reading.
“I know it was always on the cards from about four or five weeks ago but I didn’t play enough at Leeds last season,” Sharp added.
“I know that this gaffer believes in what I do and so when I knew he was interested I was eager to get back.
“It was the big pull to get me here because obviously I’ve always wanted to sign back for United.
“I didn’t want to leave in the first place, but I had to for my career and that proved a good decision.
“Now I feel I’m better, stronger, older and have more experience to deal with the pressure of being a United fan playing for United.
“I’ve got a great opportunity. I’m lucky in a way because some people only get to play for their club once and I need to make sure this time it’s a successful one.”