The Scotland international has not played since the defeat at Norwich on December 9 having picked up an injury in training.
Then boss Carlos Carvalhal had suggested that the injury, believed to be his groin, wasn't severe and there was an expectation that Bannan would only miss a couple of games.
That has since dragged on longer than initially thought and in the wake of the club's poor form and Carvalhal's departure, rumours surfaced that Bannan had asked to leave Hillsborough.
However, the 28 year-old, who has been one of Wednesday's most consistent players this season, has tweeted to refute the rumours, reiterating that he is injured and that his recovery is merely taking longer than originally thought.
Bannan tweeted on Monday night: "Just to clear things up, I'm injured and have never handed in a transfer request at this club so I don;t know where these stories are coming from! I've had a setback with my recovery and will be out for a while but I'll be back so please keep up your amazing support for the boys we need you more than ever."
Wednesday are currently 16th in the Championship table and just six points off the bottom three after a 3-0 defeat to Burton Albion on New Year's Day.