The England Under-21 international took in two productive spells at Hillsborough at the end of the 2012/13 campaign and early in the current season.
With there still no regular role for him at parent club Sunderland, another short-term agreement has been sanctioned for him to return to the Championship.
Wednesday were hoping they could bring him back for a third stint, but saw Yorkshire rivals Leeds pip them to the post.
Owls chairman Milan Mandaric told the Sheffield Star: "Yes, we were interested in Connor.
"We tried to get hold of the people at Sunderland to see what was happening with him, then we heard from his agent that the club had done a deal with Leeds.
"It's very disappointing. He helped us and we appreciate it, but we kept winning games after he was gone. It would be totally wrong if we based all our team on one player."
Mandaric has also been reflecting on Wednesday's disappointing exit from the FA Cup, with the Owls suffering a fifth round replay defeat to Charlton Athletic to deny them a derby date with arch-rivals Sheffield United in the last eight.
"We let ourselves and the supporters down," said Mandaric.
"It was one of those things. You have to accept it. With the way the team played in the first half, I did not recognise them.
"In my 15 years in England, I never saw my team at Wembley. I thought this was my chance and a chance for our faithful fans, but we go on.
"We have to try and win as many points as possible. It is important that we stabilise ourselves in the Championship and give ourselves a springboard for next season."