The Nigerian arrived at Loftus Road earlier this evening in the belief that the two clubs had reached an agreement over a transfer fee to allow him to move to the R's.
However, no such agreement was in place and the deal will now not be completed.
"I think he felt that the deal had been agreed and it hadn't. I feel sorry for the lad. I think he was advised that he should turn up and the wires got crossed," Redknapp told Sky Sports News.
Odemwingie recently vented his frustration at the situation on Twitter.