The Wales number one has played second fiddle at club level to Marcus Hahnemann for the past 12 months and he fears he could lose his international place to Boaz Myhill.
But the loaning of Carl Ikeme means the 23-year-old Hennessey will have to wait to get his wish for a temporary move.
Hennessey said: "I know I'm young but I'd love to be playing. I'd drop down to play in the Championship just to play.
"When you're sitting on the bench, you just don't feel part of it.
"It's a shame I can't go on loan. I've read that Mick McCarthy has said I'm going nowhere, but I'd like to think there is interest."
Source: PA
Source: PA