Rovers made their sixth signing of the January window on Thursday with a loan deal for West Ham United striker Mipo Odubeko.
And McSheffrey said Rovers are exploring options for more additions before Monday’s 11pm deadline.
“We’re looking, we’re speaking to a couple of people and we’ll make decisions on which options we take up,” he said.
“There could still be something.
“We might still bring in one more in the defensive area and we might still bring in one more in the attacking area.
“We’ve still got one more loan to our disposal.
“We’re waiting on discussions that are taking place.
“If anything happens it’ll probably be in the next couple of days.
“Potentially, you never know what the situation will be with the individual or with the parent club.”
Alongside Odubeko, Rovers have brought in Kieran Agard, Ollie Younger, Josh Martin, Adam Clayton and Jonathan Mitchell this month.