The Palace boss has revealed that his club could not afford the Blues striker's wages and so last week he ended up moving to Forest on a loan deal up to and including 4th April when Blues will have 24-hour recall option.
"We went after McSheffrey, but we couldn't afford his wages," Warnock has told the South London Press.
McSheffrey made his Forest debut with a 68 minute appearance in their 1-1 home draw against Swansea City on Saturday.
