The 25-year old USA attacking midfielder joined the Glasgow club from Orebro last summer but is on his way out after 'Gers fell into liquidation recently, forcing them down to Scotland's Third Division.
"Bedoya said on Friday there was an opportunity for him to go to Helsingborg, I think it was," said McCoist.
"I tried to talk him out of it but it looks to have been unsuccessful."
"You would have to ask them. I'm hopeful but I'm realistic enough to know there is an opportunity for one or two to dive out of the window. I hope that won't be the case but I'm not daft," he added.