The club captain was sent on loan to Premier League rivals Everton last summer after former Wolves boss Bruno Lage had overlooked him at the start of the season.
Nathan Collins and Max Kilman were the preferred centre-back partnership and with Coady eager to make the England squad for the World Cup, he was allowed to leave for Everton.
The Merseyside club did not take up their £4.5million option to buy Coady permanently, and the defender admits he is now uncertain if his future will be at Wolves.
“It is mad, it is strange. I have never had this feeling before. I am speaking to Wolves and have spoken to Wolves all season," he said via the BBC.
“There were a lot of things that went around when I left Wolves at the start of the season. A few people gave me a bit of stick for leaving and I heard this kind of stuff going on. I have spoken to Wolves all season. I love the place, I love the place to bits.
“In my eyes, before the last pre-season, I would never have left Wolves ever in my life. It was somewhere I hold really close to my heart. I love the place a lot but we kind of got to a situation last summer where the World Cup was coming up and I had been in the England squad for three or four years.
“The manager at the time (Lage) made the decision that I wasn’t the centre half for him. He said to me that I wasn’t going to be that and he made the decision to say, ‘listen, you can go’.
“I’ll never get the chance to go to a World Cup again, I really don’t believe so. I think it was so important to get the chance to do that, and the season had started.
“I have spoken to Wolves all season. I am in a little bit of limbo but I am speaking to Wolves at the moment to see what they want because the club is the most important thing. I am sure we will come to a decision soon.”