Blues had already had two bids for the 23-year-old striker rejected and now a new offer, tabled last Friday, has also been turned down by the Sky Blues.
"We thank Birmingham for their interest but it has never been in our thoughts to let him go," Coventry's Managing Director, Paul Fletcher, has said.
"We are looking forward to the new season with him in the team.
"From the outset, my chairman Geoffrey Robinson and I have been of the opinion that we should not sell Gary McSheffrey.
"We have again underlined our intention to keep him at the Ricoh Arena."