The 31 year old has made no secret in recent weeks of his desire to leave the Baggies and he arrived at Loftus Road yesterday assuming a deal would be done.
However, Albion quickly released a statement saying the Nigerian was there without permission and a deal never materialised.
"This deal had been dragging on for about three weeks," Redknapp said. "Peter Odemwingie was a player we had been trying to sign for several weeks.
"He felt a deal was done but it wasn't done between the two clubs. There were obviously one or two sticking points.
"He travelled down and just wanted to be on the premises to get the deal done. Unfortunately, he pulled up outside the ground and the cameras were there.
"He wasn't the only player that turned up and didn't get a deal done. There were other players at football grounds yesterday and the deals didn't go through at the last minute, for whatever reasons.
"I just hope the boy is going to be okay because he is a good person and it was a mistake that has been made. Hopefully he can move on from that."