Newspaper reports had suggested Shearer, 39, could take the vacant job at Hillsborough with former team-mate Gary Speed acting as his assistant.
But Speed has very strong Sheffield United links, and that would not go down well with Owls supporters.
However, Shearer told BBC Sport there was "no truth" in the story that he was in talks, but didn't comment about his interest in the job.
Wednesday are currently led by caretaker-manager Sean McAuley and sit second bottom of the Championship.