The centre half could be the third stopper to leave in a matter of weeks following the departure of Steve Clark and Steve Laurie.
Anwar, who has made four starts and two substitute appearances for the reserves this season, says: "They want me there for a couple of weeks. I played a reserve game last night against a very strong Blackburn side, and we did very well.
"The previous week they lost 4-0 in the fixture and I was the only change in the side. We were 1-0 up with four minutes to go, but a few individual errors from one or two of the youngsters cost us a 2-1 loss - though they really happy with the performance."
Anwar's contract is up this summer, and he says: "I have had a lot of interest but obviously, being part of West Ham's plans, there was nothing I could have done.
"But I am not going to rush because I want to make the move that is right for me. It is so important to find the right club, and in all honesty, I don't mind however long it takes.
"I want to find a club at a good level and push my career to give me the exposure that I need.
"Wednesday are a massive club, but as everyone knows, they have not being doing as well recently. They have got a very, very young side and they are looking to bring more younger players into their squad and build on the good players they have."
Other clubs are monitoring the situation as well, and Anwar adds: "I don't want to speculate about who is interested and who is not. I'm just going to take it one step at a time.
"At the moment I am here at Sheffield Wednesday and I may have another game coming up in the middle of next week, so I will just work hard, see what comes here, then we will see what the future has in store."
Anwar says that a chat with Glenn Roeder made him realise it was time to move on and adds: "I have spoken to the gaffer and the best thing was for me to leave the club in order to help my career, and that now means we can look at some of the interested clubs.
"There comes a point in everyone's career where you have to got to make decisions. I have been at West Ham for seven years and enjoyed some success there, but in terms of making that final step I don't think it was going to be an easy one at West Ham.
"I think the best thing is to drop down a division or two and do it in the way that, say, Tom Williams and Jimmy Bullard have at Peterborough.
"I have had a very good spell at West Ham. My period with the youth team is probably the most successful period that the club has ever had and I think that has done wonders for me.
"It has not only improved me as a player and, not only that, it gives you a reputation whereby a lot of clubs are willing to have a look at me without hesitation - big clubs at that.
"It is hard to move on because all I know is West Ham, but I am prepared to take whatever measures I have to, to push on for my career."