The 22-year-old striker played for Wednesday for just one season before being sold to Championship rivals Preston North End.
“He was one of the players who wanted to play regular football,” Carvalhal told The Star. “As soon as he told me that, I wasn’t going to stand in his way. He came with a lot of expectations and having scored a lot of goals in Scotland.
“I started to talk to the chairman to try and find a player for the same position. We had expectations with Fernando [Forestieri] and he came in.
“We got an offer so it was natural. Stevie wanted to play, we got a player in that position (Fernando Forestieri) so he went to Preston to be happy.”
May joined Wednesday from Scottish side St. Johnstone in the summer of 2014 amid expectations.
However, the Scotland international failed to make a huge impact for the Owls, scoring just seven goals in 39 Championship appearances last season.
The 22-year-old striker created 22 chances, had a pass accuracy of 77% and a shot accuracy of 40%, and won 13 headers, 20 dribbles and 11 tackles.
May has yet to score in the Championship for his new club Preston, but he has created two chances and has a shot accuracy of 40%.
Interestingly, May will face his former club on Saturday, as Wednesday will host Preston at Hillsborough in the Championship.