The 27-year-old Blues forward has struggled to command a first team place over the past few months although he has been included amongst manager Alex McLeish's substitutes on numerous occasions.
The Blues boss has told McShefrey that he will listen to offfers from other clubs for his services, a decision which the former Coventry striker admits has not caused a falling out between the pair.
"As far as my future at Birmingham is concerned, I'd say that I don't have one," he said.
"Last year, the manager made it clear that he was willing to offload me so I've felt that I'm not wanted here.
"There have been times when I've felt that I should have been on the pitch in front of certain other players and feel that I should have had more starts than I have done. That shows that I'm not in their plans.
"The manager sat me down and said, 'we're going to listen to offers for you but we haven't got a problem with each other so while you're here I will use you when I need to'.
"So at least I haven't been frozen out, I've been on the bench every week and started a couple of games and everything is fine with me and the manager.
"I'm not sure if I will go this month.
"It depends on who the manager signs and whether anybody is interested in signing me permanently or taking me on loan."