Sheffield Wednesday captain Barry Bannan has told team-mates that Saturday's Championship game at Bristol City will be his last for the club.The 36-year-old midfielder has made 434 league appearances for the Owls since joining in August 2015.The former Scotland international, whose deal expires at the end of the season, has been linked with a move to promotion-chasing Millwall.Wednesday have been in administration since October and despite naming a preferred bidder on 24 December progress on a takeover has been slow.It is likely they will need to sell players this month to keep money coming into the club.Teenage defender Yisa Alao, 17, is understood to be on the verge of a switch to Chelsea, while striker Bailey Cadamarteri, 20, has also been linked with a move away.On Bannan, boss Henrik Pedersen told BBC Radio Sheffield on Thursday: "I'm speaking with Barry every day and we all know he loves Sheffield Wednesday. I hope he will stay."I know he will love to stay but it is a very difficult situation."Wednesday are on the club's longest-ever winless run, having failed to claim victory in any of their past 21 games.They are rooted to the bottom of the Championship table on minus seven points, having been deducted a total of 18 points for their financial breaches.