He appeared on the channel on Friday morning as part of their transfer talk segment.
Pennant appeared to be slurring his words and giving unclear answers whilst discussing the latest transfer news.
Sky replaced him with journalist David Reed during an ad break, but Pennant has now explained the reasons behind his behaviour.
"I arrived late for Sky Sports, I rushed on set meaning I was flustered hot and not briefed and I'd had a bad night sleep and taken a sleeping tablet," Pennant tweeted. "The show decided to replace me - and I respected their decision.
"Look forward to working with them in future regards Jermaine x."
Pennant is a regular pundit on radio broadcasters talkSPORT, but is not under employment with Sky.