Dunne's former Manchester City team-mate Paul Dickov, now manager at the Keepmoat Stadium, attempted to lure him to South Yorkshire in the summer following his release from Aston Villa.
However, Dunne admits there was never a question in his mind when Rangers manager Harry Redknapp came knocking.
The 34-year-old has joined forces with Clint Hill in the QPR defence to keep 11 clean sheets so far this term - and Dunne insists the Hoops were always his firm favourite.
"I spoke to Paul Dickov in the summer, but it just never really worked out," he told the Daily Mirror.
"My number one choice was always QPR, so for me it worked out in the best way.
"We just had a chat about what their plans were for the season.
"I felt that QPR had the better chance of getting back into the Premier League."
Dunne will meet Dickov on Saturday as QPR travel north to take on Doncaster in a bid to take top spot in the Championship.