The Blues boss does not think that the striker is ready for a prolonged spell of first team football at St Andrews and has agreed with O'Connor's request to be loaned out.
The Scottish striker has already spent one month on loan at League One side Oldham this season.
"Garry looks to be going out on loan again," McLeish has said.
"We just feel he is a bit rusty.
"He's not going to get in the first team regularly at the moment and that's what he's looking for. He asked if he could go out on loan and I said 'fine'.
"To be fair to the big man he came in for the Blackpool game and did well and we hoped he would move forward from there, but he said after the Brentford game he needs more time.
"With Cameron Jerome coming back as well, it has obviously made it more difficult for Garry."