The Derby striker played his last game for the Owls in Saturday's win over Southampton and signed off with two opportunist goals at the end of his four-game stay.
Varney said: "I'm delighted to get a couple of goals, but more importantly we won the game. To finish my loan spell like that was really pleasing.
"The idea was to play a few games and the gaffer and the lads have been great to me. I've had no pressure and I think that's been reflected in my football.
"I want to go back and succeed at Derby but have really enjoyed my time here at Sheffield Wednesday and I'm really pleased I came.
"It's a shame I've only had two home games here, obviously being not able to play against Derby, but I could hear the crowd shouting my name and as a loan player that's great."