The experienced striker is already on loan at Bramall Lane, from West Bromwich Albion, but has only started one game for the Blades and now wants out of the deal.
The Baggies have refused to take him back as they have agreed a deal for a permanent transfer and now Neil Warnock is looking for a team to take over responsibility.
The Mirror report that an approach from Leeds has been refused, with Horsfield set to join Derby County instead.
The 32 year old striker told the Birmingham Post: "I just want to play football. The last thing I want to do is sit on my backside at home on 'gardening leave'.
"The manager (Warnock) has spoken to the press and said he doesn't want me anywhere near the training ground. That is his opinion but I am not interested in getting into a war of words with him.
"It's a bizarre situation as I was there five weeks and only started one first team game, so I wasn't really given a chance.
"There was no chance of me ever coming back to Albion, so I intend to enjoy my seven games at Derby and see what happens next."