 In total Whelan played 15 times on loan at Bury and caught the attentions of Sheffield Wednesday manager Chris Turner.Whelan joined Sheffield Wednesday on a free transfer in the summer of 2004.He made his debut for Wednesday against Huddersfield Town on 21 August and in his next match, a League Cup tie against Walsall, he provided Lee Peacock with an assist and earned the praise from his manager.