Warnock was on a five-man shortlist for the job and held talks with Owls chairman Milan Mandaric on Thursday evening.
"I did speak to Milan Mandaric last night (Thursday) and I think we both realised then that it wasn't going to be," Warnock told talkSPORT.
"When Milan phoned me originally I did tell him it would be pretty much impossible to manage Sheffield Wednesday when I'm a Blade, but he asked me to have time to think about it. He wanted me to try and keep them up.
"He has tried to bring me in as his manager about four times over the last 20 years so I have got a lot of respect for him.
"I have been pleased about the number of people in Sheffield, Sheffield Wednesday fans as well, that wanted me. But I think it's time to put myself to bed."
For breaking stories and all the great banter like us on Facebook: facebook.com/tribalfootball