Rovers are in the market for up to four new recruits this summer as McSheffrey attempts to build a side capable of mounting a promotion challenge following last season’s relegation to League Two.
No fewer than eight players were signed on loan during a doomed campaign last term which culminated in the club’s second demotion to the fourth tier in six years.
McSheffrey said: "We’ll still look at the loan market with one or two positions for good young players from big clubs because you get good value for money that way.
"If you get experienced, seasoned pros in every position it’s not affordable.”
He added: "We have to prioritise where we really put our resources and then be creative and try and get the best possible people we can in certain areas in the loan market.”
Doncaster are on the hunt for a new left-back as well as forward players as they seek to score more goals next term.
They were League One’s joint-second lowest scorers in the 2021/22 campaign, finding the back of the net just 37 times.
Rovers announced the signing of striker George Miller on Monday, who has joined the club on a three-year deal following his release from Barnsley.
The 23-year-old scored 12 goals in 41 appearances while on loan at Walsall in League Two last season.
McSheffrey is believed to be targeting another attacking player.