The 23-year-old has admitted that he is frustrated at a lack of first-team football at Wolves.
Hennessey said: “I know I’m young but I’d love to be playing. I’d drop down to play in the Championship just to play.
“When you’re sitting on the bench, you just don’t feel part of it.
“It’s a shame I can’t go on loan. I’ve read that Mick McCarthy has said I’m going nowhere, but I’d like to think there is interest.”
Hennessey added: “I’ve got pressure from Boaz Myhill to keep my place in the Wales team.
“But I’m not going to do that sitting on the bench.
“If one’s playing and one isn’t, I’d play the one that’s playing if I was the Wales manager.”