The 25-year-old midfielder joined Championship outfit Wednesday from Premier League side Crystal Palace in the summer transfer window.
The Scotland international is enjoying life with the Owls, but he has revealed his desire to play for Albion Rovers or Airdrie in the future.
“I’m really enjoying life at Sheffield Wednesday,” Bannan told The Sun. “The main thing for me was to get out and play football on a regular basis.
“It’s in my DNA. As long as I’m playing on a Saturday, then it doesn’t matter where I am. I want to play at the highest possible level for as long as possible.
“But I’d gladly one day go back to my roots to play for the likes of Albion Rovers or Airdrie. That would be nice.”
Bannan has created 16 chances in nine Championship appearances so far this season.
The former Aston Villa and Palace midfielder has a pass accuracy of 80% and a shot accuracy of 13%.
Wednesday are eighth in the Championship table at the moment with 23 points from 14 matches, just a point behind sixth-place Birmingham City.
The Owls will take on leaders Brighton & Hove Albion at Hillsborough in the league this evening.
Brighton are currently at the top of the standings with 30 points from 14 games, two points clear of second-place Hull City.